The Class A Notes, the Class B Notes, the Class C Notes, the ClassD Notes and the Class E Notes are referred to herein, collectively,as the "Rated Notes".

RATINGS RATIONALE

Moody's ratings of the Rated Notes address the expected lossesposed to noteholders. The ratings reflect the risks due to defaultson the underlying portfolio of assets, the transaction's legalstructure, and the characteristics of the underlying assets.

Anchorage Credit Funding 5 is a managed cash flow CDO. The issuednotes will be collateralized primarily by corporate bonds andloans. At least 30% of the portfolio must consist of senior securedloans, senior secured notes and eligible investments, and up to 5%of the portfolio may consist of letters of credit. The portfolio isapproximately 30% ramped as of the closing date.

Anchorage Capital Group, L.L.C. (the "Manager") will direct theselection, acquisition and disposition of the assets on behalf ofthe Issuer and may engage in trading activity, includingdiscretionary trading, during the transaction's five yearreinvestment period. Thereafter, the Manager may reinvestunscheduled principal payments and proceeds from sales of creditrisk assets, subject to certain restrictions.

In addition to the Rated Notes, the Issuer issued subordinatednotes.

The transaction incorporates interest and par coverage tests which,if triggered, divert interest and principal proceeds to pay downthe notes in order of seniority.

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in Section 2.3.2.1of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in August 2017.

For modeling purposes, Moody's used the following base-caseassumptions:

Par amount: $500,000,000

Diversity Score: 37

Weighted Average Rating Factor (WARF): 3183

Weighted Average Coupon (WAC): 5.70%

Weighted Average Recovery Rate (WARR): 38.5%

Weighted Average Life (WAL): 11.4 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inAugust 2017.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the Rated Notes is subject to uncertainty. Theperformance of the Rated Notes is sensitive to the performance ofthe underlying portfolio, which in turn depends on economic andcredit conditions that may change. The Manager's investmentdecisions and management of the transaction will also affect theperformance of the Rated Notes.

Together with the set of modeling assumptions above, Moody'sconducted an additional sensitivity analysis, which was a componentin determining the ratings assigned to the Rated Notes. Thissensitivity analysis includes increased default probabilityrelative to the base case.

Below is a summary of the impact of an increase in defaultprobability (expressed in terms of WARF level) on the Rated Notes(shown in terms of the number of notch difference versus thecurrent model output, whereby a negative difference corresponds tohigher expected losses), assuming that all other factors are heldequal:

The Class D-FL Notes, the Class D-FX Notes, the Class E-FL Notes,and the Class E-FX Notes are referred to herein as the "RatedNotes."

RATINGS RATIONALE

Moody's has upgraded the ratings of two classes of Rated Note dueto changes in the key transaction metrics. The upgraded classes arenow the senior-most classes in the transaction and benefit fromcash flow as a result of interest proceeds from defaulted assetsreclassified as principal. Additionally, the credit profile of theoutstanding pool of assets has improved as evidenced by weightedaverage rating factor (WARF) and weighted average recovery rate(WARR). This more than offset the increased concentration of assetsin the pool as evidenced by the reduction in the number ofobligors. Moody's has also affirmed the ratings of two classes ofnotes because key transaction metrics are commensurate with theexisting ratings. The rating action is the result of Moody'son-going surveillance of commercial real estate collateralized debtobligation (CRE CDO & Re-REMIC) transactions.

Anthracite CDO III is a static cash transaction backed by aportfolio of i) commercial mortgage-backed securities (CMBS) (70.7%of the collateral pool balance), and ii) one credit tenant leaseasset (CTL) (29.3%). As of the January 23, 2018 trustee report, theaggregate note balance of the transaction, including preferredshares, was $193.4 million, compared to $435.3 million as atissuance. The paydowns are a result of a combination of regularamortization and prepayments.

The collateral pool contains five CMBS assets totaling $8.8 million(23.4% of the collateral pool balance) listed as defaultedsecurities as of the January 23, 2018 trustee report. There havebeen over 35.8% of implied losses on the underlying collateral todate since securitization and Moody's does expect moderate/highseverity of losses on the current defaulted securities.

Moody's has identified the following parameters as key indicatorsof the expected loss within CRE CDO transactions: i) weightedaverage rating factor (WARF), a primary measure of credit qualitywith credit assessments completed for all of the collateral; ii)weighted average life (WAL); iii) weighted average recovery rate(WARR); iv) number of asset obligors; v) and pair-wise assetcorrelation. These parameters are typically modeled as actualparameters for static deals and as covenants for managed deals.

WARF is a primary measure of the credit quality of a CRE CDO pool.Moody's has updated its assessments for the collateral it does notrate. The rating agency modeled a bottom-dollar WARF of 2351,compared to 3066 at last review. The current ratings on theMoody's-rated collateral and the assessments of the non-Moody'srated collateral follow: Aaa-Aa3 and 76.6% compared to 69.5% atlast review, B1-B3 and 0.0% compared to 0.7% at last review,Caa1-Ca/C and 23.4% compared to 29.8% at last review.

Moody's modeled a WAL of 2.8 years, compared to 3.1 years at lastreview. The WAL is based on assumptions about extensions on theunderlying CMBS collateral look-through assets.

Moody's modeled a fixed WARR of 23.4%, compared to 19.9% at lastreview.

Moody's modeled 9 obligors, compared to 14 at last review.

Moody's modeled a pair-wise asset correlation of 52.1%, compared to48.7% at last review.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody'sApproach to Rating SF CDOs" published in June 2017.

Factors That Would Lead to Upgrade or Downgrade of the Ratings:

The performance of the Rated Notes is subject to uncertainty. Theperformance of the Rated Notes is sensitive to the performance ofthe underlying portfolio, which in turn depends on economic andcredit conditions that may change. The servicing decisions andmanagement of the transaction will also affect the performance ofthe Rated Notes.

Moody's Parameter Sensitivities: Changes in any one or combinationof the key parameters may have rating implications on certainclasses of Rated Notes. However, in many instances, a change in keyparameter assumptions in certain stress scenarios may be offset bya change in one or more of the other key parameters. The RatedNotes are particularly sensitive to changes in the recovery ratesof the underlying collateral and credit assessments. Increasing therecovery rate of 100% of the collateral pool by +10% would resultin an average modeled rating movement on the rated notes of zero totwo notches upward (e.g., one notch up implies a ratings movementof Baa3 to Baa2). Decreasing the recovery rate of 100% of thecollateral pool by -10% would result in an average modeled ratingmovement on the rated notes of zero to one notch downward (e.g.,one notch down implies a ratings movement of Baa3 to Ba1).

Primary sources of assumption uncertainty are the extent of growthin the current macroeconomic environment. Commercial real estateproperty values are continuing to move in a positive directionalong with a rise in investment activity and stabilization in coreproperty type performance. Limited new construction, moderate jobgrowth and the decreased cost of debt and equity capital have aidedthis improvement.

The rating confirmations reflect the overall performance of thetransaction, which remains in line with DBRS's expectations atissuance. This transaction closed in February 2016 and is securedby the fee and leasehold interests in One Channel Center. Theproperty is located in the Seaport submarket of Boston andcomprises a recently constructed 501,650 sf Class A office buildingand the adjacent Channel Center Garage containing 965 parkingspaces. The loan is interest-only (IO) for the ten-year term.

The property was constructed in 2014 and is fully occupied by StateStreet Corporation (State Street), an investment-grade tenant ratedAA (low) by DBRS. State Street's lease runs through December 2029,which is over three years past loan maturity with no earlytermination options available. State Street is currently paying atriple net (NNN) rental rate of $26.50. The Channel Center Garageis under a three-year lease with VPNE Parking Solutions Inc. (VPNE)through to December 2018. VPNE pays an annual base rent of $2.2million and 50.0% of annual gross revenue above $2.7 million. StateStreet leases 250 of the 965 parking spaces in the garage. DBRS hasasked the servicer for information on the tenant's plans for theDecember 2018 lease expiry and the response is pending as of thedate of this press release. At issuance, DBRS noted that thedevelopment boom in the area in recent years has reduced the numberof available surface lots, a factor that combines with therelatively limited parking structure development in the area tosuggest significant upside for income from the parking structure asthe area continues to grow and parking demands increase.

At Q2 2017, the in-place debt service coverage ratio (DSCR) was1.92 times (x), compared with the in-place YE2016 DSCR of 1.83x andthe DBRS Term DSCR derived at issuance of 2.05x. The Q2 2017 figureis reflective of a 4.4% net cash flow growth over YE2016, resultingfrom a 2.1% increase in effective gross income and a 1.4% decreasein operating expenses. The NCF declines from the DBRS issuancefigure are attributable to DBRS's long-term credit tenant (LTCT)treatment of State Street, with the contractual rent included on astraight-line basis in the DBRS analysis. According to CoStar,Class A office properties in the Seaport submarket reported avacancy rate of 5.8% and availability rate of 5.2% as of January2018, compared with the Q1 2017 vacancy rate of 4.4% andavailability rate of 4.2%.

Classes X-A and X-B are interest-only (IO) certificates thatreference a single rated tranche or multiple rated tranches. The IOrating mirrors the lowest-rated reference tranche adjusted upwardby one notch if senior in the waterfall.

Improved Performance and Better than Expected Recoveries: The poolhas exhibited improved performance since Fitch's last ratingaction. The upgrades reflect the increasing credit enhancementrelative to the remaining pool balance as a result of amortizationand loan dispositions. Since Fitch's last rating action, the poolhas received paydown of $53.5 million and losses of approximately$831,000, resulting in significantly better than expectedrecoveries. Additionally, the single tenant at the propertysecuring the largest performing loan in the pool renewed its leasemaking payoff at the upcoming maturity more likely. As of theFebruary 2018 distribution date, the transaction has paid down 95%since issuance to $107.5 million from $2.2 billion. Interestshortfalls are currently affecting class J.

Concentrated Pool: The pool is highly concentrated with only 10loans remaining. Due to the concentrated nature of the pool, Fitchperformed a sensitivity analysis that grouped the remaining loansbased on loan structural features, collateral quality andperformance and ranked them by their perceived likelihood ofrepayment. This includes fully amortizing loans, balloon loans, andFitch loans of concern. The ratings reflect this sensitivityanalysis.

Specially Serviced/Watchlist Loans: Approximately 48.4% of theremaining collateral is in special servicing and Fitch considers65.5% of the pool a Fitch Loan of Concern.

Maturity Schedule: Loans totaling approximately $39 million maturein the next 12 months. Additionally, two loans totaling $14.3million will pass their ARD dates in September 2017. The remainderof the pool does not mature until 2022.

The two largest specially serviced loans in the pool are secured byadjacent properties with common sponsorship; however, the loans arenot cross collateralized. Both properties are three-story suburbanoffice buildings located in Rockville, MD. The loans transferred tothe special servicer due to imminent maturity default in May 2017as several large tenants had upcoming lease expirations.Discussions are ongoing between the borrower and special servicerregarding workout options.

RATING SENSITIVITIES

Rating Outlooks on classes D through E remain Stable due to highcredit enhancement and continued delivering of the pool. Furtherupgrades to the most senior classes are possible with additionalpaydown and resolutions of loans in special servicing. Ratings onthe distressed classes may be subject to further downgrades aslosses are realized.

S&P said, "The raised ratings on classes B and C, and affirmedrating on class D reflect our expectation of the available creditenhancement for these classes, which we believe is in line with theraised and affirmed rating levels. The raised ratings also reflectthe reduction in trust balance, as well as the volume of defeasedloans (3; $47.4 million, 31.9%) remaining in the transaction.

"While available credit enhancement levels suggest further positiverating movements on classes B and C and positive rating movement onclass D, our analysis also considered the magnitude of thespecially serviced assets (6; $74.7 million, 50.3%), susceptibilityto reduced liquidity support from these six specially servicedassets, as well as refinancing concerns with four of the performingloans ($16.2 million, 10.9%) due mainly to reported decliningperformance and/or single tenant rollover risk."

TRANSACTION SUMMARY

As of the Feb. 12, 2018, trustee remittance report, the collateralpool balance was $148.4 million, which is 5.1% of the pool balanceat issuance. The pool currently includes 14 loans and two realestate-owned (REO) assets, down from 303 loans at issuance. Six ofthese assets are with the special servicer, three loans aredefeased, and one ($2.2 million, 1.5%) is on the master servicer'swatchlist.

To date, the transaction has experienced $190.4 million inprincipal losses, or 6.6% of the original pool trust balance. Weexpect losses to reach approximately 7.1% of the original pooltrust balance in the near term, based on losses incurred to dateand additional losses we expect upon the eventual resolution of thesix specially serviced assets.

CREDIT CONSIDERATIONS

As of the Feb. 12, 2018, trustee remittance report, six assets inthe pool were with the special servicer, C-III Asset Management LLC(C-III). Details of the two largest specially serviced assets areas follows:

The First Industrial Portfolio loan ($47.5 million, 32.0%), thelargest nondefeased loan in the pool, has a total reported exposureof $49.3 million. Following the release of two industrial flexproperties totaling 80,462 sq. ft., the loan is currently securedby 21 industrial flex properties totaling 880,329 sq. ft. inGeorgia. The loan, which has a 90-plus days delinquent status, wastransferred to special servicing on June 18, 2014, due to imminentdefault. The reported overall DSC for the six months ended June 30,2017, was 0.76x and occupancy was 75.5% as of July 2017 for theportfolio. C-III indicated that it is pursuing foreclosure. A $4.9million appraisal reduction amount (ARA) is in effect against theloan and we expect a minimal loss (less than 25%) upon its eventualresolution.

The Jasper Mall REO asset ($10.5 million, 7.1%), the second-largestnondefeased asset in the pool, has a reported $11.1 million totalexposure. The asset is a 288,577-sq.-ft. enclosed mall in Jasper,Ala. The loan was transferred to special servicing on April 1,2016, due to imminent maturity default (matured on July 1, 2016),and the property became REO on Nov. 2, 2017. Although reportedoccupancy was 93.0% according to the Dec. 31, 2017, rent roll, theanchors, JCPenney and Kmart, representing 48.1% of the total sq.ft. are dark. An ARA of $7.4 million is in effect against the assetand we expect a significant loss (60% or greater) upon its eventualresolution.

The four remaining assets with the special servicer each haveindividual balances that represent less than 3.8% of the total pooltrust balance. We estimated losses for the six specially servicedassets, arriving at a weighted-average loss severity of 22.7%.

Additional Paydown and Defeasance: The upgrades to classes D, E,and F reflect improved credit enhancement. Since the prior ratingaction in July 2017, three loans have been paid in full and thelargest remaining loan in the pool (18.4% of the remaining poolbalance) has been defeased. The pool has 16 assets remaining, fiveof which have been defeased (41.1%). As of the February 2018remittance report, the pool has paid down by 94.2% to $98.3 millionfrom $1.7 billion at issuance. The pool has suffered $31.7 millionin realized losses, accounting for 1.9% of the original poolbalance.

Pool Concentration/Adverse Selection: The transaction is highlyconcentrated with only 16 of the original 224 loans remaining. Ofthe 16 remaining loans, one (2.5%) is performing specially servicedand seven (34.6%) are performing but on the master servicer'swatchlist. Fitch has designated four loans (22%) as Fitch Loans ofConcern. Due to the pool's concentrated nature, a sensitivityanalysis was performed which grouped and ranked the remaining loansby their structural features, performance, estimated likelihood ofrepayment, and estimated loss on the specially serviced asset. Theratings reflect this sensitivity analysis. Classes C and D arefully covered by defeased collateral. Class E is partially coveredby defeased collateral and is also reliant on payment from fullyamortizing loans and a Manhattanco-op loan.

Fitch Loans of Concern: The four Fitch Loans of Concern have beenflagged due to declining net operating income (NOI), low debtservice coverage ratios (DSCR), high vacancy rates, upcoming tenantrollover, or borrower issues resulting in the loan transferring tospecial servicing.

The Stable Rating Outlooks for classes C, D, and F reflectincreased credit enhancement, additional defeasance, and expectedcontinued amortization. The Positive Rating Outlook on Class Ereflects partial coverage from defeasance and potential for furtherupgrades with additional paydown, defeasance, or improvements incollateral performance. Downgrades are possible if the collateralquality deteriorates or loans transfer to special servicing. Thedistressed classes may be subject to further downgrades asadditional losses are realized.

The rating upgrades are primarily due to an increase in the creditenhancement available to the bonds. The rating actions reflect therecent performance of the underlying pools and Moody's updated lossexpectation on these pools.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in January 2017.

Factors that would lead to an upgrade or downgrade of the ratings:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate.The unemployment rate fell to 4.1% in January 2018 from 4.8% inJanuary 2017. Moody's forecasts an unemployment central range of3.5% to 4.5% for 2018. Deviations from this central scenario couldlead to rating actions in the sector. House prices are another keydriver of US RMBS performance. Moody's expects house prices tocontinue to rise in 2018. Lower increases than Moody's expects ordecreases could lead to negative rating actions. Finally,performance of RMBS continues to remain highly dependent onservicer procedures. Any change resulting from servicing transfersor other policy or regulatory change can impact the performance ofthese transactions.

On the March 1, 2018, refinancing date, the proceeds from theissuance of the replacement notes were used to redeem the prioroutstanding class A-1, A-2-R, B-1, B-2-R, C, D, E, and F notes.Therefore, S&P withdrew the ratings on the prior outstanding notes,and it is assigning ratings to the replacement notes.

The replacement notes are being issued via a supplementalindenture, which, in addition to outlining the terms of thereplacement notes, provide that:

-- The replacement class A-1-RR, A-2-RR, C-RR, and D-RR notes arebeing issued at lower spreads than the current outstanding notes.

-- The replacement class E-RR notes are being issued at a higherspread than the current outstanding notes.

-- The current outstanding class F notes are being redeemed andnot replaced.

-- The stated maturity and reinvestment periods are extended by5.25 years.

S&P said, "Our review of this transaction included a cash flowanalysis, based on the portfolio and transaction as reflected inthe trustee report, to estimate future performance. In line withour criteria, our cash flow scenarios applied forward-lookingassumptions on the expected timing and pattern of defaults, andrecoveries upon default, under various interest rate andmacroeconomic scenarios. In addition, our analysis considered thetransaction's ability to pay timely interest or ultimate principal,or both, to each of the rated tranches.

"We will continue to review whether, in our view, the ratingsassigned to the notes remain consistent with the credit enhancementavailable to support them, and we will take further rating actionsas we deem necessary."

Stable Performance in Line with Issuance: As of the February 2018distribution date, the pool's aggregate principal balance has beenreduced by 2.6% to $1.09 billion from $1.12 billion at issuance.Two loans (0.86% of the pool balance) are designated as Fitch Loansof Concern, one of which (0.3%) is 30 days delinquent. Asproperty-level performance is generally in line with issuanceexpectations, the original rating analysis was considered inaffirming the transaction. Interest shortfalls of $2033 arecurrently affecting the non-rated class H.

Limited Hotel and Retail Exposure: Only 6.1% of the pool by balanceconsists of hotel properties, which is below the 2015 average of17.0% and the 2014 average of 14.2% noted at issuance. Retailproperties make up 17.1% of the pool balance, which is also belowthe averages from 2014 to 2017, and none are considered regionalmalls.

Concentration & Leverage: The largest 10 loans account for 58.6% ofthe pool by balance. At issuance, the top 10 represented a largershare than those typical of its vintage. Many of the largest loanshave high leverage, but four of the largest six loans (29.8% of thepool) are secured by properties located in New York City.

Limited Amortization: The pool is scheduled to amortize by only8.4% of the initial pool balance prior to maturity, which is lowerrelative to similar transactions of its vintage. Five loans (40.0%)are full-term interest only and 45 loans (43.3%) are partialinterest only. At issuance, Fitch-rated transactions from 2015 and2014 had average full-term, interest-only percentages of 23.3% and20.1%, respectively, and partial interest-only percentages of 43.1%and 42.8%, respectively.

Maturity Schedule: Five loans (11.8% of the pool) are scheduled tomature in 2020. The next scheduled loan maturities are in 2024(five loans, 3.4% of the pool) with the remainder of the poolmaturing in 2025 (74 loans; 84.7%).

RATING SENSITIVITIES

The Rating Outlooks on all classes remain Stable. Fitch does notforesee positive or negative ratings migration until a materialeconomic or asset-level event changes the transaction's overallportfolio-level metrics. Future upgrades may occur should stableperformance continue and loans pay off at their 2020 maturitydates.

Class A-1 has paid in full. Fitch does not rate the class G and Hcertificates.

CITIGROUP TRUST 2017-B1: DBRS Corrects Aug. 29 Press Release------------------------------------------------------------DBRS Limited corrected an August 29, 2017, press release thatstated the incorrect rating on Class X-B in the CitigroupCommercial Mortgage Trust 2017-B1 transaction. The rating on theClass X-B notes was upgraded to AAA (sf) from AA (low) (sf) afterDBRS assigned its provisional ratings. The press release has beenamended with the correct rating and is available below and on theDBRS website.

On August 29, 2017, DBRS, Inc. (DBRS) finalized its provisionalratings on the following classes of Commercial MortgagePass-Through Certificates, Series 2017-B1 (the Certificates) to beissued by Citigroup Commercial Mortgage Trust 2017-B1:

The collateral consists of 48 fixed-rate loans secured by 69commercial and multifamily properties. The transaction is asequential-pay pass-through structure. Trust assets contributedfrom four loans, representing 23.9% of the pool, are shadow-ratedinvestment grade by DBRS. Proceeds for each shadow-rated loan arefloored at their respective ratings within the pool. When 23.9% ofthe pool has no proceeds assigned below the rated floor, theresulting pool subordination is diluted or reduced below the ratedfloor. The conduit pool has been analyzed to determine the ratings,reflecting the long-term probability of loan default within theterm and its liquidity at maturity. When the cut-off loan balanceswere measured against the DBRS Stabilized net cash flow (NCF) andtheir respective actual constants, only one loan, comprising 1.0%of the pool balance, had a DBRS Term debt service coverage ratio(DSCR) below 1.15 times (x), a threshold indicative of a higherlikelihood of mid-term default. Additionally, to assess refinancerisk given the current low interest rate environment, DBRS appliedits refinance constants to the balloon amounts. This resulted in 26loans, representing 57.4% of the pool, having refinance DSCRs below1.00x and 14 loans, representing 31.4% of the pool, havingrefinance DSCRs below 0.90x.

Four loans, representing 23.9% of the transaction balance, exhibitcredit characteristics consistent with an investment-grade shadowrating: General Motors Building, Lakeside Shopping Center, TwoFordham Square and Del Amo Fashion Center. Term default risk islow, as indicated by a strong weighted-average (WA) DBRS Term DSCRof 1.95x. In addition, 30 loans, representing 70.9% of the pool,have a DBRS Term DSCR in excess of 1.50x. Based on A-note balancesonly, the DBRS Term DSCR increases substantially to a robust 2.10x.Even when excluding the four loans shadow-rated investment grade,the majority of which have large pieces of subordinate mortgagedebt held outside the trust, the deal continues to exhibit a strongDBRS Term DSCR of 1.77x. Eight loans that comprise 47.3% of theDBRS sample (37.8% of the pool) have favorable property qualitybased on physical attributes and/or a desirable location withintheir respective markets. One loan (General Motors Building),representing 12.3% of the DBRS sample, was considered to be ofExcellent property quality, and three loans (Chateau Marmont Hotel,327-331 East Houston Street and Del Amo Fashion Center), totaling13.8% of the DBRS sample, were considered to be of Above Averageproperty quality. Four additional loans (Lakeside Shopping Center,411 East Wisconsin Center and the McNeill Hotel Portfolio),representing 21.1% of the DBRS sample, received Average (+)property quality. Higher-quality properties are more likely toretain existing tenants/guests and more easily attract newtenants/guests, resulting in more stable performance.

The pool has a relatively high concentration of loans secured bynon-traditional property types, such as self-storage, hospitalityand manufactured housing community (MHC) assets, which, on acombined basis, represent 30.0% of the pool across 17 loans. Thereare five loans totaling 17.7% of the pool secured by hotels, tenloans totaling 10.5% of the transaction balance secured byself-storage properties and two loans comprising 1.7% of the poolsecured by MHC properties. Each of these asset types is vulnerableto high NCF volatility because of their relatively short-termleases compared with other commercial properties that can cause theNCF to quickly deteriorate in a declining market. Four of thelargest 15 loans, comprising 16.6% of the pool balance, are securedby hospitality or self-storage properties; however, such loansexhibit a WA DBRS Debt Yield and DBRS Exit Debt Yield of 10.0% and11.4%, respectively, which compare favorably with the overall deal.Twenty loans, representing 58.8% of the pool, including ten of thelargest 15 loans, are structured with interest-only (IO) paymentsfor the full term. An additional 16 loans, representing 19.6% ofthe pool, have partial IO periods ranging from 12 months to 60months; however, ten of the full- or partial-term IO loans,representing 49.7% of the IO concentration in the transaction, haveexcellent locations in super-dense urban markets that benefit fromsteep investor demand. The transaction's WA DBRS Refinance (Refi)DSCR of 0.99x indicates higher refinance risk at an overall poollevel. There is an elevated concentration of loans that exhibitrefinance risk. Twenty-six loans, representing 57.4% of the pool,have DBRS Refi DSCRs below 1.00x; however, these credit metrics arebased on whole-loan balances. Two of the loans with a DBRS RefiDSCR below 1.00x (General Motors Building and Del Amo FashionCenter), representing 12.0% of the pool, have large pieces ofsubordinate mortgage debt outside the trust. Based on A-notebalances only, the deal's WA DBRS Refi DSCR increases to 1.05x andthe concentration of loans with DBRS Refi DSCRs below 1.00x and0.90x reduces to 45.4% and 21.5%, respectively.

The DBRS sample included 24 of the 48 loans in the pool. Siteinspections were performed on 31 of the 69 properties in theportfolio (61.6% of the pool by allocated loan balance). The DBRSsample had an average NCF variance of -11.0% and ranged from -26.6%(General Motors Building) to -0.9% (327-331 East Houston Street).

The ratings assigned to the Certificates by DBRS are basedexclusively on the credit provided by the transaction structure andunderlying trust assets. All classes will be subject to ongoingsurveillance, which could result in upgrades or downgrades by DBRSafter the date of issuance.

The rating assigned to Class F materially deviates from the higherratings implied by the quantitative results. DBRS considers amaterial deviation to be a rating differential of three or morenotches between the assigned rating and the rating implied by thequantitative results that is a substantial component of a ratingmethodology. The deviations are warranted given the expecteddispersion of loan level cash flows post issuance.

Other than the specified classes above, DBRS does not rate anyother classes in this transaction.

This transaction is a securitization of a portfolio of fixed- andadjustable-rate, prime and non-prime first-lien residentialmortgages. The Certificates are backed by 865 loans with a totalprincipal balance of $401,210,769 as of the Cut-Off Date (January1, 2018).

Caliber Home Loans, Inc. (Caliber) is the originator and servicerfor 100% of the portfolio. The Caliber mortgages were originatedunder the following five programs:

(1) Premier Access (61.7%) Generally made to borrowers withunblemished credit. These loans may have interest-only features,higher debt-to-income (DTI) and loan-to-value (LTV) ratios or lowercredit scores compared with those in traditional prime jumbosecuritizations.

(2) Homeowner's Access (23.8%) Made to borrowers who do notqualify for agency or prime jumbo mortgages for various reasons,such as loan size in excess of government limits, alternative orinsufficient credit or prior derogatory credit events that occurredmore than two years prior to origination.

(4) Investor (3.7%) Made to borrowers who finance investorproperties where the mortgage loan would not meet agency orgovernment guidelines because of such factors as property type,number of financed properties, lower borrower credit score or aseasoned credit event.

(5) Foreign National (0.2%) Made to non-resident borrowersholding certain types of visas who may not have a credit score.

Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trendby DBRS) will act as the Master Servicer, Securities Administratorand Certificate Registrar. U.S. Bank National Association (rated AA(high) with a Stable trend by DBRS) will serve as Trustee.

Although the mortgage loans were originated to satisfy ConsumerFinancial Protection Bureau (CFPB) ability-to-repay (ATR) rules,they were made to borrowers who generally do not qualify foragency, government or private-label non-agency prime jumbo productsfor the various reasons described above. In accordance with CFPBQualified Mortgage (QM) rules, 1.3% of the loans are designated asQM Safe Harbor, 24.2% as QM Rebuttable Presumption and 70.8% asnon-QM. Approximately 3.7% of the loans are not subject to the QMrules.

The Servicer will generally fund advances of delinquent principaland interest on any mortgage until such loan becomes 180 daysdelinquent, and it is obligated to make advances in respect oftaxes, insurance premiums and reasonable costs incurred in thecourse of servicing and disposing of properties.

On or after the earlier of (1) the two-year anniversary of theClosing Date or (2) the date when the aggregate stated principalbalance of the mortgage loans is reduced to 30% of the Cut-Off Datebalance, the Depositor has the option to purchase all of theoutstanding Certificates at a price equal to the outstanding classbalance, plus accrued and unpaid interest, including any capcarry-over amounts.

The transaction employs a sequential-pay cash flow structure with apro rata principal distribution among the senior tranches.Principal proceeds can be used to cover interest shortfalls on theCertificates as the outstanding senior Certificates are paid infull.

For four loans (0.2% of the pool) in the mortgage pool, theServicer provided payment holidays of no more than five months andextended the maturity terms post-Hurricane Harvey andpost-Hurricane Irma to provide relief to these borrowers. All fourloans are currently making their respective principal and interestpayments as of the Cut-Off Date. In its analysis, DBRS did nottreat these loans as modifications but nonetheless ran additionalscenarios to stress these loans so the rated bonds can withstandthe additional stress.

The ratings reflect transactional strengths that include thefollowing:

(1) ATR Rules and Appendix Q Compliance: All of the mortgage loanswere underwritten in accordance with the eight underwriting factorsof the ATR rules. In addition, Caliber's underwriting standardscomply with the Standards for Determining Monthly Debt and Incomeas set forth in Appendix Q of Regulation Z with respect to incomeverification and the calculation of DTI ratios. All the loans inthe portfolio meet the standard for income verification inaccordance with Appendix Q, although certain loans may havenon-material deviations from Appendix Q.

(2) Strong Underwriting Standards: Whether for prime or non-primemortgages, underwriting standards have improved significantly fromthe pre-crisis era. The Caliber loans were underwritten to a fulldocumentation standard with respect to verification of income(generally through two years of Form W-2s or tax returns),employment and assets. Generally, fully executed Form 4506-Ts wereobtained and tax returns were verified with Internal RevenueService transcripts if applicable.

(3) Robust Loan Attributes and Pool Composition:

-- The mortgage loans in this portfolio generally have robust loanattributes as reflected in combined LTV ratios, borrower householdincome and liquid reserves, including the loans in Homeowner'sAccess and Fresh Start, the two programs with weaker borrowercredit.

-- The pool contains low proportions of cash-out and investorproperties.

-- As the programs move down the credit spectrum, certaincharacteristics, such as lower LTV ratios or DTI ratios, suggestthe consideration of compensating factors for riskier pools.

-- The pool is composed of 33.1% fixed-rate mortgages, which havethe lowest default risk because of the stability of monthlypayments. The pool is composed of 66.9% hybrid adjustable-ratemortgages with an initial fixed period of five to seven years,allowing borrowers sufficient time to credit cure before ratesreset.

(4) Satisfactory Third-Party Due Diligence Review: A third-partydue diligence firm conducted property valuation, credit andcompliance reviews on 100% of the loans in the pool. Data integritychecks were also performed on the pool.

(5) Satisfactory Loan Performance to Date (Albeit Short): Caliberbegan originating similar loans in Q4 2014. Since the firsttransaction issued in November 2015, the historical performance forthe COLT shelf has been satisfactory, albeit short. For previousCOLT non-QM transactions rated by DBRS, as of December 2017, 60+day delinquency rates ranged from 0.0% to 2.4% and cumulativelosses were no higher than 0.01%. Additionally, one unratedtransaction (COLT 2015-1) exhibited a higher 60+ day delinquencyrate of 4.9%. Finally, voluntary prepayment rates have beenrelatively high, as these borrowers tend to credit cure andrefinance into lower-rate mortgages.

The transaction also includes the following challenges andmitigating factors:

(1) Representations and Warranties (R&W) Framework and Provider:The R&W framework is considerably weaker compared with that of apost-crisis prime jumbo securitization. Instead of an automaticreview when a loan becomes seriously delinquent, this transactionemploys an optional review only when realized losses occur (unlessthe alleged breach relates to an ATR or TILA-RESPA integrateddisclosure violation). In addition, rather than engaging athird-party due diligence firm to perform the R&W review, theControlling Holder (initially the Sponsor or a majority-ownedaffiliate of the Sponsor) has the option to perform the reviewin-house or use a third-party reviewer. Finally, the R&W provider(the originator) is an unrated entity, has limited performancehistory of non-prime non-QM securitizations and may potentiallyexperience financial stress that could result in the inability tofulfill repurchase obligations. DBRS notes the following mitigatingfactors:

-- The holders of the Certificates representing a 25% interest inthe Certificates may direct the Trustee to commence a separatereview of the related mortgage loan, to the extent they disagreewith the Controlling Holder's determination of a breach.

-- Third-party due diligence was conducted on 100% of the loansincluded in the pool. A comprehensive due diligence reviewmitigates the risk of future R&W violations.

-- The Sponsor or an affiliate of the Sponsor will retain theClass B-3 and Class X Certificates, which represent at least 5% ofthe fair value of all the Certificates, aligning Sponsor andinvestor interest in the capital structure.

-- Notwithstanding the above, DBRS adjusted the originator scoresdownward to account for the potential inability to fulfillrepurchase obligations, the lack of performance history and theweaker R&W framework. A lower originator score results in increaseddefault and loss assumptions and provides additional cushions forthe rated securities.

-- For loans in this portfolio that were originated through theHomeowner's Access and Fresh Start programs, borrower credit eventshad generally happened, on average, at 40 months and 20 months,respectively, prior to origination. In its analysis, DBRS appliedadditional penalties for borrowers with recent credit events withinthe past two years.

(3) Servicer Advances of Delinquent Principal and Interest: Theservicer will advance scheduled principal and interest ondelinquent mortgages until such loans become 180 days delinquent.This will likely result in lower loss severities to the transactionbecause advanced principal and interest will not have to bereimbursed from the trust upon the liquidation of the mortgages butwill increase the possibility of periodic interest shortfalls tothe Certificateholders. Mitigating factors include the fact thatprincipal proceeds can be used to pay interest shortfalls to theCertificates as the outstanding senior Certificates are paid infull and that subordination levels are greater than expectedlosses, which may provide for payment of interest to theCertificates. DBRS ran cash flow scenarios that incorporatedprincipal and interest advancing up to 180 days for delinquentloans; the cash flow scenarios are discussed in more detail in theCash Flow Analysis section of the related rating report.

(4) Servicer's Financial Capability: In this transaction, Caliber,as the Servicer, is responsible for funding advances to the extentrequired. The servicer is an unrated entity and may face financialdifficulties in fulfilling its servicing advance obligations in thefuture. Consequently, the transaction employs Wells Fargo as theMaster Servicer. If the servicer fails in its obligation to makeadvances, Wells Fargo will be obligated to fund such servicingadvances.

The DBRS ratings of AAA (sf) and AA (sf) address the timely paymentof interest and full payment of principal by the legal finalmaturity date in accordance with the terms and conditions of therelated Certificates. The DBRS ratings of A (sf), BBB (sf), BB (sf)and B (sf) address the ultimate payment of interest and fullpayment of principal by the legal final maturity date in accordancewith the terms and conditions of the related Certificates.

The downgrade on class G reflects the fact that the transaction iscollateralized by a single remaining loan: the Saks StratfordSquare loan ($8.2 million, 100%) is secured by a 147,000 sq.-ft.anchor store attached to the Stratford Square Mall located inBloomingdale, Ill. The sole tenant, Carson Pirie, is owned by TheBon-Ton Stores Inc. (Bon-Ton) and has a lease at the property thatexpires in January 2024. S&P Global Ratings recently lowerd itsrating on Bon-Ton, which recently filed for bankruptcy, to 'D'.

Effective Feb. 22, 2018, the loan transferred to the specialservicer, CWCapital Asset Management LLC, due to imminent default.Following Bon-Ton's bankruptcy filing, it has requested a period offree rent at the property. Without rental payments from Bon-Ton,the borrower may not be able to pay the mortgage debt servicepayments. This could potentially cause this class to incur interestshortfalls if the servicer does not advance on the mortgage loan.

Given the potential for Bon-Ton to reject the lease at thisproperty in bankruptcy, we analyzed the property assuming Bon-Tonwill vacate the property and the property will be re-tenanted.Using this assumption, S&P calculated a 0.42x S&P Global Ratings'debt service coverage (DSC) and 157.4% S&P Global Ratings'loan-to-value (LTV) ratio using an 8.5% S&P Global Ratings'capitalization rate for the loan. To date, the transaction hasexperienced $45.2 million in principal losses, or 5.0% of theoriginal pool trust balance.

TRANSACTION SUMMARY

As of the Feb. 15, 2018, trustee remittance report, the collateralpool balance was $8.2 million, which is 0.9% of the pool balance atissuance. The pool currently has one loan remaining (discussedabove), down from 112 loans at issuance. The master servicer,KeyBank N.A., reported 2016 year-end financial information for theremaining loan.

All trends are Stable, including Class D, which previously had aPositive trend.

The rating actions reflect the overall stable performance of thetransaction and the increased credit support to the bonds as aresult of the successful repayment of Class A-1 and significantpaydown of Class A-2. At issuance, the pool consisted of 48 loanssecured by 80 commercial and multifamily properties. As of theDecember 2017 remittance, there has been a collateral reduction of25.3% as a result of scheduled loan amortization and the successfulrepayment of six loans within the pool. There are 41 loans,representing 99.3% of the pool balance, reporting YE2016 net cashflow; these loans reported a weighted-average (WA) debt servicecoverage ratio (DSCR) and WA debt yield of 2.36 times (x) and12.7%, respectively, compared with a YE2015 WA DSCR and WA debtyield of 2.33x and 11.2%, respectively. The pool is concentrated,as the top 15 loans represent 82.4% of the current pool balance.However, the performance of these loans has been healthy overall.Based on YE2016 financials, these loans reported a WA DSCR and debtyield of 2.43x and 12.4%, respectively, reflecting a WA 13.8%improvement in cash flows over the DBRS cash flows derived atissuance and a 3.7% improvement in cash flows year over year. As ofthe December 2017 remittance, there are no loans with partial-terminterest-only (IO) payments remaining, and three of the remainingloans, representing 27.8% of the current pool balance, werestructured with full-term IO payments.

As of the December 2017 remittance, there are eight loans,representing 19.9% of the pool, on the servicer's watchlist,including the largest loan in the pool. Two of these loans arebeing monitored for non-performance-related issues limited todeferred maintenance. The largest loan in the pool is beingmonitored for the upcoming lease expiration of the General ServicesAdministration Department of State; however, because the tenant hassince extended its lease through to January 2021, DBRS expects theloan will be removed from the watchlist in the near term. TheStreets of Brentwood loan (Prospectus ID#12; 3.5% of the poolbalance) is currently in special servicing for imminent maturitydefault after the loan matured on January 6, 2018. The loanreported a YE2016 DSCR of 2.82x and, based on those cash flows, aDBRS Refinance DSCR of 1.97x. The borrower is currently workingwith the special servicer on a resolution.

At issuance, DBRS shadow-rated the Federal Center Plaza loan(Prospectus ID#1; 11.6% of the current pool balance) investmentgrade. With this review, DBRS confirms that the performance of thatloan remains consistent with investment-grade loancharacteristics.

Classes X-A and X-B are IO certificates that reference a singlerated tranche or multiple rated tranches. The IO rating mirrors thelowest-rated reference tranche adjusted upward by one notch ifsenior in the waterfall.

All trends are Stable. DBRS does not rate the first loss piece,Class G.

The rating confirmations reflect the overall stable performance ofthe transaction. At issuance, the collateral consisted of 48fixed-rate loans secured by 197 commercial properties. As of theDecember 2017 remittance, all loans remained in the pool with anaggregate principal balance of $892.6 million, representing acollateral reduction of 4.1% since issuance as a result ofscheduled loan amortization. There are currently three loans (12.5%of the pool) with remaining partial interest-only (IO) periods,ranging from one to 14 months, while two loans (9.1% of the pool)are structured with full IO terms. Two loans (1.4% of the pool) aresecured by collateral that has been fully defeased. To date, 41loans (86.0% of the pool) reported partial-year 2017 financials,while 45 loans (97.7% of the pool) reported YE2016 financials.Based on the most recent year-end financial reporting, thetransaction had a weighted-average (WA) debt service coverage ratio(DSCR) and WA Debt Yield of 1.54 times (x) and 10.3%, respectively,compared with the DBRS WA Term DSCR and WA Debt Yield of 1.37x and9.1%, respectively.

The pool is concentrated by property type, as 14 loans,representing 31.4% of the pool, are secured by retail properties,while seven loans (20.9% of the pool) are secured by officeproperties and ten loans (19.2% of the pool) are secured bymultifamily properties. By loan size, the pool is alsoconcentrated, as the top ten and top 15 loans represent 62.8% and75.2% of the pool, respectively. Based on the most recent cashflows available, the top 15 loans reported a WA DSCR of 1.41x,compared with the WA DBRS Term DSCR of 1.33x, which is reflectiveof a 6.8% net cash flow growth over the DBRS issuance figures.

As of the December 2017 remittance, there are two loans (1.1% ofthe pool) in special servicing and nine loans (9.6% of the pool) onthe servicer's watchlist. The two loans in special servicing, theHoliday Inn Express Snyder (Prospectus ID#33, 0.6% of the pool) andthe La Quinta Inn & Suites Floresville (Prospectus ID#41, 0.5% ofthe pool), are each secured by limited-service hotels located inheavily energy-dependent markets. Based on the most recentappraisals (May 2017 and October 2017), property values havedropped by approximately 75% since issuance. Of the nine loans onthe servicer's watchlist, four loans (4.4% of the pool) wereflagged as a result of deferred maintenance, while the remainingfive loans (5.2% of the pool) were flagged because of occupancydeclines and/or near-term tenant rollover. Based on the most recentfinancials, the five loans with potential increases in vacancy hada WA DSCR of 1.48x, compared to the WA DBRS Term DSCR of 1.25x.

Classes X-A, X-B and X-C are IO certificates that reference asingle rated tranche or multiple rated tranches. The IO ratingsmirror the lowest-rated reference tranche adjusted upward by onenotch if senior in the waterfall.

All trends are Stable. DBRS does not rate the first loss piece,Class G.

These rating actions reflect the overall stable performance of thetransaction since issuance in May 2015. The transaction consists of83 fixed-rate loans secured by 220 commercial properties. The poolhas experienced a collateral reduction of 1.2% since issuance as aresult of scheduled amortization, with all of the original 83 loansoutstanding. Approximately 99.5% of the pool reported YE2015financials, including a weighted-average (WA) debt service coverageratio (DSCR) of 1.79 times (x) and a WA debt yield of 9.4%. TheDBRS issuance WA DSCR and WA debt yield were 1.92x and 9.5%,respectively.

As at the April 2017 remittance, there were two loans, representing2.9% of the pool balance, on the servicer's watch list and no loansin special servicing. One loan was flagged for performance droppingbelow the DSCR threshold of 1.20x as at Q2 2016 reporting but hassince improved to 1.21x as at the YE2016 financials. The other loanwas watch listed for failing a covenant-compliance stressed DSCRtest, and as such, a lockbox has been activated and the loan isbeing monitored. The two loans reported a WA DSCR of 1.24x and WAdebt yield of 8.4%.

The Courtyard by Marriott Portfolio loan (Prospectus ID#2; 7.4% ofthe current pool) is secured by a portfolio of 65 Courtyard byMarriott hotels, totaling 9,590 keys. The collateral includes thefee and leasehold interest in 49 hotels, the fee interest in ninehotels and the leasehold interest in seven hotels. The subject loanconsists of the $33.5 million A-1 piece and $100.0 million A-2Apiece of the whole Senior A-note debt of $315.0 million, as well asthe controlling subordinate B-note debt of $355.0 million. The A-1piece and B-note debt are included in the trust as non-pooled rakebonds, while the A-2A piece is pooled in the trust. At issuance,DBRS shadow-rated this loan as investment grade. DBRS confirms withthis review that the performance of this loan remains consistentwith investment-grade loan characteristics.

Class CM-B is a non-pooled rake bond backed by the $355.0 millionCourtyard by Marriott Portfolio B-note. This class was upgradedwith this review in accordance with the changes in the "NorthAmerican Single-Asset/Single-Borrower Methodology" published inMarch 2017.

All trends are Stable. DBRS does not rate the first loss piece,Class J.

The rating confirmations reflect the overall stable performance ofthe transaction. At issuance, the collateral consisted of 49fixed-rate loans secured by 119 commercial properties. As of theDecember 2017 remittance, all loans remained in the pool with anaggregate principal balance of $1.02 billion, representing acollateral reduction of approximately 0.6% since issuance as aresult of scheduled loan amortization. There are currently 15 loans(29.7% of the pool) with remaining interest-only (IO) periods,ranging from eight to 36 months, while 11 loans (40.8% of the pool)are structured with full IO terms. To date, 40 loans (84.4% of thepool) reported partial-year 2017 financials, while 46 loans (96.9%of the pool) reported YE2016 financials. Based on the most recentyear-end financial reporting, the transaction had aweighted-average (WA) debt service coverage ratio (DSCR) and WADebt Yield of 1.62 times (x) and 9.1%, respectively, compared withthe DBRS WA Term DSCR and WA Debt Yield of 1.51x and 8.5%,respectively.

The pool is concentrated by property type, as 17 loans,representing 28.9% of the pool, are secured by retail properties,while ten loans (28.5% of the pool) are secured by officeproperties and eight loans (16.4% of the pool) are secured by hotelproperties. Additionally, thirteen loans (32.2% of the pool) aresecured by properties that are either fully or primarily leased tosingle tenants. However, four of the six loans (14.2% of the pool)secured by single-tenant properties in the Top 15 are leased toinvestment-grade tenants. By loan size, the pool is concentrated,as the top 15 loans represent 66.7% of the pool. Based on the mostrecent cash flows available, the top 15 loans reported a WA DSCR of1.75x, compared with the WA DBRS Term DSCR of 1.55x, which isreflective of the 12.9% net cash flow growth over the DBRS issuancefigures.

As of the December 2017 remittance, there are five loans (6.1% ofthe pool) on the servicer watchlist. The two largest loans on thewatchlist, Place Apartments (Prospectus ID#16, 2.4% of the pool)and Emerald Beach Resort (Prospectus ID#21, 0.7% of the pool), wereflagged because of hail and hurricane damage, respectively. Bothborrowers have opened insurance claims and the servicer ismonitoring the loans. Of the remaining loans on the watchlist, oneloan (1.2% of the pool) was flagged because of deferredmaintenance, while two loans (1.1% of the pool) were flagged due totenant rollover.

Classes X-A, X-HR, XP-A, X-B, X-C, X-D, X-E and X-F are IOcertificates that reference a single rated tranche or multiplerated tranches. The IO ratings mirror the lowest-rated referencetranche, adjusted upward by one notch if senior in the waterfall.

The notes are general senior unsecured obligations of Fannie Mae(AAA/Stable) subject to the credit and principal payment risk ofthe mortgage loan reference pools of certain residential mortgageloans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf'rating for the 2M-1 notes reflects the 3.75% subordination providedby the 0.88% class 2M-2A, the 0.88% class 2M-2B, the 0.88% class2M-2C, the 0.60% class 2B-1 and its corresponding referencetranche, as well as the 0.50% 2B-2H reference tranche.

The CAS 2018-C02 transaction consists of 112,133 loans withloan-to-value (LTV) ratios greater than 80% and less than or equalto 97%.

The notes are general senior unsecured obligations of Fannie Maebut are subject to the credit and principal payment risk of a poolof certain residential mortgage loans (reference pool) held invarious Fannie Mae-guaranteed MBS.

While the transaction structure simulates the behavior and creditrisk of traditional RMBS mezzanine and subordinate securities,Fannie Mae will be responsible for making monthly payments ofinterest and principal to investors based on the payment prioritiesset forth in the transaction documents.

Given the structure and counterparty dependence on Fannie Mae,Fitch's ratings on the 2M-1 and 2M-2 notes will be based on thelower of: the quality of the mortgage loan reference pool andcredit enhancement (CE) available through subordination; or FannieMae's Issuer Default Rating (IDR). The notes will be issued asuncapped LIBOR-based floaters and carry a 12.5-year legal finalmaturity. This will be an actual loss risk transfer transaction inwhich losses borne by the noteholders will not be based on a fixedloss severity (LS) schedule. The notes in this transaction willexperience losses realized at the time of liquidation ormodification that will include both lost principal and delinquentor reduced interest.

Under the Federal Housing Finance Regulatory Reform Act, theFederal Housing Finance Agency (FHFA) must place Fannie Mae intoreceivership if it determines that Fannie Mae's assets are lessthan its obligations for more than 60 days following the deadlineof its SEC filing, as well as for other reasons. As receiver, FHFAcould repudiate any contract entered into by Fannie Mae if it isdetermined that the termination of such contract would promote anorderly administration of Fannie Mae's affairs. Fitch believes thatthe U.S. government will continue to support Fannie Mae; this isreflected in Fitch current rating of Fannie Mae. However, if atsome point, Fitch views the support as being reduced andreceivership likely, Fannie Mae's ratings could be downgraded andthe 2M-1,2M-2A,2M-2B, and 2M-2C notes' ratings affected.

The 2M-1, 2M-2A, 2M-2B, 2M-2C and 2B-1 notes will be issued asLIBOR-based floaters. In the event that the one-month LIBOR ratefalls below the applicable negative LIBOR trigger value describedin the offering memorandum, the interest payment on theinterest-only notes will be capped at the excess of (i) theinterest amount payable on the related class of exchangeable notesfor that payment date over (ii) the interest amount payable on theclass of floating-rate related combinable and recombinable (RCR)notes included in the same combination for that payment date. Ifthere are no floating-rate classes in the related exchange, thenthe interest payment on the interest-only notes will be capped atthe aggregate of the interest amounts payable on the classes of RCRnotes included in the same combination that were exchanged for thespecified class of interest-only RCR notes for that payment date.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The reference mortgage loanpool consists of high-quality mortgage loans acquired by Fannie Maein 2Q17, 3Q17 and October 2017. The reference pool will consist ofloans with LTV ratios greater than 80% and less than or equal to97%. Overall, the reference pool's collateral characteristics aresimilar to recent CAS transactions and reflect the strong creditprofile of post-crisis mortgage originations.

Clean Pay History for Loans in Disaster Areas (Positive): FannieMae will not remove loans in counties designated as naturaldisaster areas by the Federal Emergency Management Agency (FEMA).However, any loans with a prior delinquency were removed from thereference pool, per the eligibility criteria. Therefore, all loansin the reference pool in the disaster areas have had clean payhistories since the occurrence of the natural disaster events.

12.5-Year Hard Maturity (Positive): The notes benefit from a12.5-year legal final maturity. Thus, any credit or modificationevents on the reference pool that occur beyond year 12.5 are borneby Fannie Mae and do not affect the transaction. Fitch accountedfor the 12.5-year hard maturity in its default analysis and applieda reduction to its lifetime default expectations.

Solid Lender Review and Acquisition Processes (Positive): Fitchfound that Fannie Mae has a well-established and disciplinedprocess in place for the purchase of loans and views itslender-approval and oversight processes for minimizing counterpartyrisk and ensuring sound loan quality acquisitions as positive. Loanquality control (QC) review processes are thorough and indicate atight control environment that limits origination risk. Fitch hasdetermined Fannie Mae to be an above-average aggregator for its2013 and later product. Fitch accounted for the lower risk byapplying a lower default estimate for the reference pool.

Solid Alignment of Interests (Positive): While the transaction isdesigned to transfer credit risk to private investors, Fitchbelieves that it benefits from a solid alignment of interests.Fannie Mae will retain credit risk in the transaction by holdingthe 2A-H senior reference tranche, which has an initial lossprotection of 4.50%, as well as the first loss 2B-2H referencetranche, sized at 0.50%. Fannie Mae is also retaining a verticalslice or interest of approximately 5% in each reference tranche(2M-1H, 2M-AH, 2M-BH, 2M-CH, 2B-1H and 2B-2H).

Receivership Risk Considered (Neutral): Under the Federal HousingFinance Regulatory Reform Act, the Federal Housing Finance Agency(FHFA) must place Fannie Mae into receivership if it determinesthat Fannie Mae's assets are less than its obligations for morethan 60 days following the deadline of its SEC filing, as well asfor other reasons. As receiver, FHFA could repudiate any contractentered into by Fannie Mae if it is determined that the terminationof such contract would promote an orderly administration of FannieMae's affairs. Fitch believes that the U.S. government willcontinue to support Fannie Mae; this is reflected in Fitch currentrating of Fannie Mae. However, if, at some point, Fitch views thesupport as being reduced and receivership likely, the ratings ofFannie Mae could be downgraded and the 2M-1, 2M-2A, 2M-2B, 2M-2C,and 2M-2 notes' ratings affected.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstratehow the ratings would react to steeper market value declines (MVDs)than assumed at both the metropolitan statistical area (MSA) andnational levels. The implied rating sensitivities are only anindication of some of the potential outcomes and do not considerother risk factors that the transaction may become exposed to or beconsidered in the surveillance of the transaction.

This defined stress sensitivity analysis demonstrates how theratings would react to steeper MVDs at the national level. Theanalysis assumes MVDs of 10%, 20% and 30%, in addition to the modelprojected sMVD. It indicates there is some potential ratingmigration with higher MVDs, compared with the model projection.

Fitch also conducted defined rating sensitivities which determinethe stresses to MVDs that would reduce a rating by one fullcategory, to non-investment grade, and to 'CCCsf'. For example,additional MVDs of 11%, 11% and 35% would potentially reduce the'BBBsf' rated class down one rating category, to non-investmentgrade, and to 'CCCsf', respectively.

The ratings are based on DBRS's review of the following analyticalconsiderations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.

-- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow

assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date.

-- The capabilities of Consumer Portfolio Services, Inc. (CPS) with regard to originations, underwriting and servicing.

-- DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer.

-- The CPS senior management team has considerable experience and

a successful track record within the auto finance industry, having managed the company through multiple economic cycles.

-- The quality and consistency of provided historical static pool

data for CPS originations and performance of the CPS auto loan portfolio.

-- CPS has made considerable improvements to the collections process, including management changes, upgraded systems and software as well as implementation of new policies and procedures focused on maintaining compliance.

-- CPS will be subject to ongoing monitoring of certain processes

by the FTC.

-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the

assets and the consistency with DBRS's "Legal Criteria for U.S. Structured Finance" methodology.

The rating on the Class A Notes reflects the 55.30% of initial hardcredit enhancement provided by the subordinated notes in the pool(52.45%), the Reserve Account (1.00%) and overcollateralization(1.85%). The ratings on the Class B, Class C, Class D and Class ENotes reflect 39.05%, 25.15%, 13.20% and 2.85% of initial hardcredit enhancement, respectively. Additional credit support may beprovided from excess spread available in the structure.

The rating on the P&I class A-J was affirmed because the ratingsare consistent with Moody's expected loss.

The rating on the IO class A-X was affirmed based on the creditquality of the referenced classes.

Moody's rating action reflects a base expected loss of 46% of thecurrent pooled balance, compared to 43% at Moody's last review.Moody's base expected loss plus realized losses is now 17.0% of theoriginal pooled balance, compared to 17.9% at the last review.Moody's provides a current list of base expected losses for conduitand fusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017. The methodologies used in rating Cl.A-X was "Moody's Approach to Rating Structured FinanceInterest-Only (IO) Securities" published in June 2017 and "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017.

Moody's analysis incorporated a loss and recovery approach inrating the P&I classes in this deal since 32% of the pool is inspecial servicing and Moody's has identified additional troubledloans representing 39% of the pool. In this approach, Moody'sdetermines a probability of default for each specially serviced andtroubled loan that it expects will generate a loss and estimates aloss given default based on a review of broker's opinions of value(if available), other information from the special servicer,available market data and Moody's internal data. The loss givendefault for each loan also takes into consideration repayment ofservicer advances to date, estimated future advances and closingcosts. Translating the probability of default and loss givendefault into an expected loss estimate, Moody's then applies theaggregate loss from specially serviced and troubled loans to themost junior classes and the recovery as a pay down of principal tothe most senior classes.

DEAL PERFORMANCE

As of the February 16, 2018 distribution date, the transaction'saggregate certificate balance has decreased by 88% to $410 millionfrom $3.37 billion at securitization. The certificates arecollateralized by 13 mortgage loans ranging in size from less than1% to 28% of the pool, with the top ten loans (excludingdefeasance) constituting 97% of the pool.

Moody's uses a variation of Herf to measure the diversity of loansizes, where a higher number represents greater diversity. Loanconcentration has an important bearing on potential ratingvolatility, including the risk of multiple notch downgrades underadverse circumstances. The credit neutral Herf score is 40. Thepool has a Herf of 5, compared to 8 at Moody's last review.

Two loans, constituting 2% of the pool, are on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Seventy-seven loans have been liquidated from the pool,contributing to an aggregate realized loss of $391 million (for anaverage loss severity of 26%). Eight loans, constituting 32% of thepool, are currently in special servicing. The largest speciallyserviced loan is the Pinnacle at Tutwiler Loan ($49 million -- 12%of the pool), which is secured by a 249,000 square foot (SF)anchored, lifestyle shopping center located in Trussville, Alabama,roughly 15 miles northeast of downtown Birmingham. The loantransferred to special servicing in November 2016 due to imminentmaturity default and became REO in February 2018. The property was89% leased as of November 2017 compared to 94% at year-end 2016.

The second largest specially serviced loan is the Shoreham HotelLoan ($33 million -- 8% of the pool), which is secured by a174-key, unflagged full-service hotel located on West 55th Streetbetween 5th and 6th Avenues in Midtown Manhattan. The loantransferred to special servicing in June 2014 due to imminentmaturity default and became REO in June 2017.

The third largest specially serviced loan is the Rambling Oaks Loan($12 million -- 3% of the pool), which is secured by two seniorliving facilities located in Norman, Oklahoma and Oklahoma City,Oklahoma. The loan transferred to special servicing in May 2014 dueto imminent maturity default and became REO in June 2017. As ofMarch 2016, the properties were collectively 75% occupied.

Moody's has also assumed a high default probability for four poorlyperforming loans, constituting 39% of the pool, and has estimatedan aggregate loss of $70 million (a 44% expected loss based on a82% probability default) from these troubled loans.

The top three loans not in special servicing represent 66% of thepool balance. The largest loan is the Koger Center Loan ($111million -- 28% of the pool), which is secured by an office complexlocated in Tallahassee, Florida consisting of 18 buildings. Theloan was transferred to Special Servicing in January 2017 and wasreturned to the master servicer in September 2017, following anAugust 2017 modification of the maturity date which was extended by36 months to February 2020. The largest tenant is the State ofFlorida, which occupies 68% of the net rentable area (NRA) with ascheduled lease expiration in October 2019. The collateral propertywas 88% leased as of October 2016, compared to 92% leased as ofMarch 2016.

The second and third largest loans are the City Place-A note andB-note ($100 million and $50 million -- 25% and 13% of the pool,respectively) , which are secured by a 756,000 square foot (SF)portion of a 1.3 million SF mixed-use complex located in West PalmBeach, Florida. City Place is a multi-level mixed use propertywhich includes an open air retail and entertainment component, Theloan was modified in April 2011. The modification extended thelease term and resulted in the creation of a $50 million B-Note.The loan subsequently transferred back to special servicing inFebruary 2016 and was modified again in July 2017, reducing theB-Note interest rate to 0%. Macy's closed its store at thecollateral property in late 2017 and approximately 10% of the NRAexpires over the next six months. The loan transferred back to themaster servicer in September 2017. As of September 2017, the retailcomponent was 93% leased, compared to 95% leased at year-end 2016.Moody's considers these troubled loans and has assumed a highexpected loss on the combined notes.

The ratings of Classes J and K were affirmed because the ratingsare consistent with Moody's expected loss.

The rating on the interest-only (IO) Class A-X was affirmed basedon the credit quality of its referenced classes.

The rating IO class A-Y was affirmed based on the credit quality ofthe referenced loan.

Moody's rating action reflects a base expected loss of 38.4% of thecurrent balance, compared to 22.8% at Moody's last review. Moody'sbase expected loss plus realized losses remain the same as lastreview at 3.3%. Moody's provides a current list of base expectedlosses for conduit and fusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017. The methodologies used in rating Cl.A-X and Cl. A-Y were "Moody's Approach to Rating Structured FinanceInterest-Only (IO) Securities" published in June 2017 and "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017.

Moody's analysis incorporated a loss and recovery approach inrating the P&I classes in this deal since 55% of the pool is inspecial servicing. In this approach, Moody's determines aprobability of default for each specially serviced loan that itexpects will generate a loss and estimates a loss given defaultbased on a review of broker's opinions of value (if available),other information from the special servicer, available market dataand Moody's internal data. The loss given default for each loanalso takes into consideration repayment of servicer advances todate, estimated future advances and closing costs. Translating theprobability of default and loss given default into an expected lossestimate, Moody's then applies the aggregate loss from speciallyserviced loans to the most junior classes and the recovery as a paydown of principal to the most senior classes.

DEAL PERFORMANCE

As of the February 16, 2018 distribution date, the transaction'saggregate certificate balance has decreased by 99.2% to $14.5million from $1.7 billion at securitization. The certificates arecollateralized by six mortgage loans ranging in size from less than1% to 28% of the pool. The pool includes one loan, representingless than 0.5% of the pool, that is secured by a residential co-oplocated in New York.

One loan, constituting less than 0.5% of the pool, is on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Nineteen loans have been liquidated from the pool, resulting in anaggregate realized loss of $51.9 million (for an average lossseverity of 62%). Two loans, constituting 55.2% of the pool, arecurrently in special servicing. The largest specially serviced loanis the Buffalo Square Shopping Center Loan ($4.1 million -- 28.4%of the pool), which is secured by a leasehold interest in a 177,000SF retail center located in Las Vegas, Nevada. The collateral issubject to a sandwich ground lease and the sandwich ground lease issubject to a master ground lease of the entire retail center. Theloan was transferred to the special servicer in July 2014 due tothe borrower changing the property manager without noteholderconsent. The property was 65% occupied in November 2017, comparedto 95% in November 2016.

The second largest specially serviced loan is The Crossroads Loan($3.9 million -- 26.8% of the pool), which is secured by a Class Boffice building located in Elmsford, New York, near White Plains.The loan was first transferred to the special servicer in December2012 due to maturity default. The loan was extended through January2015 but returned to the special servicer due to maturity default.The property was reported to be in fair condition and was 57%occupied as of November 2016.

Moody's estimates an aggregate $5.6 million loss for the speciallyserviced loans (70% expected loss on average).

The top three performing loans represent 44.8% of the pool balance.The largest performing loan is the Polar Plastics Loan ($3.8million -- 26.3% of the pool), which is secured by a 385,000 SFmanufacturing facility located in Mooresville, North Carolinaapproximately 30 miles north of Charlotte. The property is 100%leased to Pactiv Corporation through March 2023. Moody's valueincorporated a Lit/Dark analysis to account for the single-tenantrisk. The loan is fully amortizing and is scheduled to pay-off inMarch 2023. Moody's LTV and stressed DSCR are 31% and 3.39X,respectively.

The second largest loan is the ParkRidge at McPherson Loan ($1.5million -- 10.6% of the pool), which is secured by a 72 unitmultifamily property located in McPherson, Kansas, approximately 60miles north of Wichita. The property was 97% occupied as ofSeptember 20017, compared to 96% in June 2016. The loan hasamortized 24% and is scheduled to mature in April 2018. Moody's LTVand stressed DSCR are 66% and 1.48X, respectively, compared to 68%and 1.43X at the last review.

The third largest loan is The Veranda at Twin Creek Apartments Loan($1.1 million -- 7.9% of the pool), which is secured by an 88 unitmultifamily property located in Killeen, Texas, approximately 50miles north of Austin. The property was 93% occupied as ofSeptember 2017, compared to 99% in September 2016. The loan hasamortized nearly 17% since securitization and is scheduled tomature in January 2021. Moody's LTV and stressed DSCR are 39% and2.48X, respectively, compared to 40% and 2.43X at the last review.

The rating on Classes B was upgraded based primarily due to anincrease in credit support resulting from loan paydowns andamortization. The deal has paid down 10% since Moody's last reviewand 97% since securitization.

The ratings on the Classes C, D and E were affirmed because theratings are consistent with Moody's expected loss plus realizedlosses.

The rating on the IO class, Cl. A-X, was affirmed based on thecredit quality of its referenced classes.

The rating on the IO class, Cl. A-Y, was affirmed based on thecredit quality of its referenced loans (residential cooperatives).

Moody's rating action reflects a base expected loss of 36.1% of thecurrent pooled balance, compared to 26.5% at Moody's last review.Moody's base expected loss plus realized losses is now 8.1% of theoriginal pooled balance, compared to 7.8% at the last review.Moody's provides a current list of base expected losses for conduitand fusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodologies used in these ratings were "Approach toRating US and Canadian Conduit/Fusion CMBS" published in July 2017and "Moody's Approach to Rating Large Loan and Single Asset/SingleBorrower CMBS" published in July 2017. The methodologies used inrating Cl. A-X and Cl. A-Y were "Moody's Approach to RatingStructured Finance Interest-Only (IO) Securities" published in June2017, "Approach to Rating US and Canadian Conduit/Fusion CMBS"published in July 2017, and "Moody's Approach to Rating Large Loanand Single Asset/Single Borrower CMBS" published in July 2017.

Moody's analysis incorporated a loss and recovery approach inrating the P&I classes in this deal since approximately 39% of thepool is in special servicing. In this approach, Moody's determinesa probability of default for each specially serviced and troubledloan that it expects will generate a loss and estimates a lossgiven default based on a review of broker's opinions of value (ifavailable), other information from the special servicer, availablemarket data and Moody's internal data. The loss given default foreach loan also takes into consideration repayment of serviceradvances to date, estimated future advances and closing costs.Translating the probability of default and loss given default intoan expected loss estimate, Moody's then applies the aggregate lossfrom specially serviced to the most junior class(es) and therecovery as a pay down of principal to the most senior class(es).

DEAL PERFORMANCE

As of the February 16th, 2018 distribution date, the transaction'saggregate certificate balance has decreased by 97% to $58 millionfrom $1.64 billion at securitization. The certificates arecollateralized by 15 mortgage loans ranging in size from less than1% to 22% of the pool. Nine loans ($26.7 million -- 47% of thepool) are secured by residential co-ops located primarily in NewYork City, and have structured credit assessments of aaa (sca.pd).

Moody's uses a variation of Herf to measure the diversity of loansizes, where a higher number represents greater diversity. Loanconcentration has an important bearing on potential ratingvolatility, including the risk of multiple notch downgrades underadverse circumstances. The credit neutral Herf score is 40. Thepool has a Herf of 7, compared to 8 at Moody's last review.

Seven loans, constituting 19% of the pool, are on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Twenty-nine loans have been liquidated from the pool, resulting inan aggregate realized loss of $111 million (for an average lossseverity of 42%). Two loans, constituting 39% of the pool, arecurrently in special servicing. The largest specially serviced loanis the Tri-Pointe Plaza Loan ($12.5 million -- 22% of the pool),which is secured by six office buildings totaling 152,500 squarefeet (SF) and located in Tucson, Arizona. The loan transferred tospecial servicing in July 2012 and became real estate owned (REO)in July 2013. As of December 2017, the weighted average occupancywas only 49%, compared to 56% as of September 2016 and 49% in2014.

The other specially serviced loan is the University Park Loan ($9.8million -- 17% of the pool), which is secured by a 109,000 SFretail center located in Clive, Iowa. The loan transferred tospecial servicing in February 2014 for imminent payment default andbecame REO in October 2015.

Moody's has estimated an aggregate loss of $18.8 million (an 84%expected loss on average) from these specially serviced loans.

Moody's received full year 2016 operating results for 100% of thepool and full or partial year 2017 operating results for 38% of thepool (excluding specially serviced and defeased loans). Moody'sweighted average conduit LTV is 102%. Only four remaining loans areincluded in the conduit component, Moody's conduit componentexcludes loans with structured credit assessments, defeased and CTLloans, and specially serviced and troubled loans. Moody's net cashflow (NCF) reflects a weighted average haircut of 34% to the mostrecently available net operating income (NOI). Moody's valuereflects a weighted average capitalization rate of 9.5%.

Moody's actual and stressed conduit DSCRs are 0.81X and 1.24X,respectively. Moody's actual DSCR is based on Moody's NCF and theloan's actual debt service. Moody's stressed DSCR is based onMoody's NCF and a 9.25% stress rate the agency applied to the loanbalance.

The top three conduit loans represent 13% of the pool balance. Thelargest loan is the Foxcroft Mobile Home Community Loan ($4.0million -- 7.0% of the pool), which is secured by a 321-unit mobilehome community located in Loch Sheldrake, New York, approximately100 miles north of NYC. The loan is on the watchlist for low DSCRas a result of increased expenses and low occupancy. Per the mostrecent rent roll, occupancy was 78%. The loan is currently in 60days payment delinquency due to major plumbing repairs as a resultof the winter weather. The loan is fully amortizing and hasmaturity date in February 2025. Moody's LTV and stressed DSCR are124% and 0.83X, respectively.

The second largest loan is the Fishers Gateway Shops Loan ($2.8million -- 5.0% of the pool), which is secured by an unanchoredretail center in Fishers, Indiana. As of December 2016, theproperty was 90% leased to eight tenants, including Starbucks,compared to 75% leased as of March 2016. The loan has amortizedapproximately 23% since securitization and has a maturity date inApril 2020. Moody's LTV and stressed DSCR are 87% and 1.21X,respectively.

The third largest loan is the 750 New York Ave Loan ($616,877 --1.1% of the pool), which is secured by a 7,200 SF single-tenantretail building. The property is 100% occupied by a Duane Readepharmacy on a lease scheduled to expire in October 2040. Moody'sLTV and stressed DSCR are 79% and 1.33X, respectively.

CVS CREDIT: Moody's Affirms Ba1 Rating on Series A-2 Certs----------------------------------------------------------Moody's Investors Service affirmed the ratings of CVS Credit LeaseBacked Pass-Through Certificates, Series A-1 and Series A-2:

Series A-2, Affirmed Ba1; previously on Mar. 23, 2017 Affirmed Ba1

RATINGS RATIONALE

The rating was affirmed based on the balloon risk at thecertificate's final distribution date and support of the long termtriple net lease guaranteed by CVS Health (CVS, Moody's seniorunsecured debt rating Baa1, on watch -- possible downgrade). Therating on the A-2 Certificate is lower than CVS's rating due to thesize of the loan balance at maturity relative to the value of thecollateral assuming the existing tenant is no longer in occupancy(the dark value). CVS's lease obligations are not sufficient torepay the A-2 Certificate principal in full and the residual valueinsurance policies provider, Royal Indemnity Company, is unrated byMoody's.

In December 2017 Moody's placed CVS Health's (CVS) Baa1 seniorunsecured rating on review for downgrade following its announcementthat it will acquire Aetna, Inc (Baa2, stable outlook). The balloonrisk of the transaction is unchanged by the placement of CVSHealth's rating on review for downgrade.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The ratings of Credit Tenant Lease (CTL) deals are generally basedon the senior unsecured debt rating (or the corporate familyrating) of the tenants leasing the real estate collateralsupporting the bonds. Other factors that are also considered areMoody's dark value of the collateral (value based on the propertybeing vacant or dark), which is used to determine a recovery rateupon a loan's default and the rating of the residual insuranceprovider, if applicable. Factors that may cause an upgrade of theratings include an upgrade in the rating of the corporate tenant orsignificant loan paydowns or amortization which results in a lowerloan to dark value ratio. Factors that may cause a downgrade of theratings include a downgrade in the rating of the corporate tenantor the residual insurance provider.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in this rating was "Moody's Approachto Rating Credit Tenant Lease and Comparable Lease Financings"published in October 2016.

No model was used in this review.

DEAL PERFORMANCE

The Certificate is supported by 96 single-tenant, stand-aloneretail buildings leased to CVS. Each building is subject to a fullybondable triple net lease guaranteed by CVS. The properties arelocated across 17 states. The rated final distribution date isJanuary 10, 2023.

During the term of the transaction, the A-2 Certificate issupported by CVS Health Corp. (CVS) lease obligations. The balloonpayment is insured under residual value insurance policies.

-- S&P said, "Our expectation that under a moderate ('BBB') stressscenario, the ratings on the class A, B, and C notes would likelynot be lowered, and the class D notes would likely remain withinone category of our preliminary 'BBB (sf)' rating, all else beingequal. The rating on class E would remain within two ratingcategories of our preliminary 'BB (sf)' rating during the firstyear, though it would ultimately default in the moderate ('BBB')stress scenario with approximately 63% principal repayment. Thesepotential rating movements are consistent with our credit stabilitycriteria."

-- The collateral characteristics of the subprime pool beingsecuritized, including a high percentage (approximately 77%) ofobligors with higher payment frequencies (more than once a month),which S&P expects will result in a somewhat faster paydown on thepool.

-- The transaction's sequential-pay structure, which builds creditenhancement (on a percentage-of-receivables basis) as the poolamortizes.

The ratings are based on a review by DBRS of the followinganalytical considerations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. The transaction benefits from credit enhancement in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are

sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow

assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and

-- DBRS has performed an operational review of Exeter and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer.

-- Exeter's senior management team has considerable experience and a successful track record within the auto finance industry.

-- The credit quality of the collateral and performance of Exeter's auto loan portfolio.

-- A third-party entity that is unaffiliated with Exeter purchased a pool of automobile loan contracts from Exeter and

is subsequently selling certain of those contracts to EFCAR LLC, the depositor, to be included as collateral in the transaction.

-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Exeter, that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS methodology "Legal Criteria for U.S. Structured Finance."

FOURSIGHT CAPITAL 2018-1: Moody's Assigns (P)B2 Rating to F Notes-----------------------------------------------------------------Moody's Investors Service has assigned provisional ratings to thenotes to be issued by Foursight Capital Automobile ReceivablesTrust 2018-1 (FCRT 2018-1). This is the first auto loan transactionof the year for Foursight Capital LLC (Foursight; Unrated) and thefirst transaction rated by Moody's. The notes will be backed by apool of retail automobile loan contracts originated by Foursight,who is also the servicer and administrator for the transaction.

The complete rating actions are:

Issuer: Foursight Capital Automobile Receivables Trust 2018-1

Class A-2 Notes, Assigned (P)Aaa (sf)

Class A-3 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa2 (sf)

Class C Notes, Assigned (P)A2 (sf)

Class D Notes, Assigned (P)Baa2 (sf)

Class E Notes, Assigned (P)Ba2 (sf)

Class F Notes, Assigned (P)B2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateraland its expected performance, the strength of the capitalstructure, and the experience and expertise of Foursight as theservicer and administrator and the backup servicing arrangement.

Moody's median cumulative net loss expectation for the 2018-1 poolis 9.25% and the Aaa level is 40.0%. The Aaa level is the level ofcredit enhancement consistent with a Aaa (sf) rating. Moody's basedits cumulative net loss expectation and Aaa level on an analysis ofthe credit quality of the underlying collateral; the historicalperformance of similar collateral, including securitizationperformance and managed portfolio performance; the ability ofFoursight to perform the servicing functions; and currentexpectations for the macroeconomic environment during the life ofthe transaction.

At closing, the Class A notes, Class B notes, Class C notes, ClassD notes, Class E notes and Class F notes are expected to benefitfrom 36.25%, 25.05%, 18.55%, 14.55%, 10.55% and 5.35%, of hardcredit enhancement, respectively. Hard credit enhancement for thenotes consists of a combination of overcollateralization, anon-declining reserve account, and subordination, except for theClass F notes, which do not benefit from subordination. The notesmay also benefit from excess spread.

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Auto Loan- and Lease-Backed ABS" published inOctober 2016.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the subordinated notes if, given currentexpectations of portfolio losses, levels of credit enhancement areconsistent with higher ratings. In sequential pay structures, suchas the one in this transaction, credit enhancement grows as apercentage of the collateral balance as collections pay down seniornotes. Prepayments and interest collections directed toward noteprincipal payments will accelerate this build of enhancement.Moody's expectation of pool losses could decline as a result of alower number of obligor defaults or appreciation in the value ofthe vehicles securing an obligor's promise of payment. Portfoliolosses also depend greatly on the US job market, the market forused vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations ofportfolio losses, levels of credit enhancement are consistent withlower ratings. Credit enhancement could decline if excess spread isnot sufficient to cover losses in a given month. Moody'sexpectation of pool losses could rise as a result of a highernumber of obligor defaults or deterioration in the value of thevehicles securing an obligor's promise of payment. Portfolio lossesalso depend greatly on the US job market, the market for usedvehicles, and poor servicing. Other reasons for worse-than-expectedperformance include error on the part of transaction parties,inadequate transaction governance, and fraud.

The ratings upgraded are due to the increase in credit enhancementavailable to the bonds and low levels of delinquencies in thesetransactions. The transactions have had significant prepayment andthe current balance has reduced to below 70% of the original dealbalance. The actions also reflect Moody's updated loss projectionson the pools.

The principal methodology used in these ratings was "Moody'sApproach to Rating US Prime RMBS" published in February 2015.

Factors that would lead to an upgrade or downgrade of the ratings:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate.The unemployment rate fell to 4.1% in January 2018 from 4.8% inJanuary 2017. Moody's forecasts an unemployment central range of3.5% to 4.5% for the 2018 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2018. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions.

Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

Moody's ratings on the Refinancing Notes addresses the expectedlosses posed to noteholders. The ratings reflect the risks due todefaults on the underlying portfolio of assets, the transaction'slegal structure, and the characteristics of the underlying assets.

The Issuer has issued the Refinancing Notes on March 1, 2018 (the"Refinancing Date") in connection with the refinancing of allclasses of the secured notes (the "Refinanced Original Notes")previously issued on December 8, 2015 (the "Original ClosingDate"). On the Refinancing Date, the Issuer used proceeds from theissuance of the Refinancing Notes and additional subordinatednotes, to redeem in full the Refinanced Original Notes.

In addition to the issuance of the Refinancing Notes and additionalsubordinated notes, a variety of other changes to transactionfeatures have occured in connection with the refinancing. Theseinclude: extension of the reinvestment period; extensions of thestated maturity and non-call period; changes to certain collateralquality tests; changes to the overcollateralization test levels;and changes to certain concentration limits.

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in Section 2.3.2.1of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in August 2017.

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, diversity score and weightedaverage recovery rate, are based on its published methodology andcould differ from the trustee's reported numbers. For modelingpurposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: $399,268,855

Defaulted par: $1,462,290

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2850

Weighted Average Spread (WAS): 3.10%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 49.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inAugust 2017.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the Refinancing Notes is subject to uncertainty.The performance of the Refinancing Notes is sensitive to theperformance of the underlying portfolio, which in turn depends oneconomic and credit conditions that may change. The Manager'sinvestment decisions and management of the transaction will alsoaffect the performance of the Refinancing Notes.

Together with the set of modeling assumptions above, Moody'sconducted an additional sensitivity analysis, which was a componentin determining the ratings assigned to the Refinancing Notes. Thissensitivity analysis includes increased default probabilityrelative to the base case.

Below is a summary of the impact of an increase in defaultprobability (expressed in terms of WARF level) on the RefinancingNotes (shown in terms of the number of notch difference versus thecurrent model output, whereby a negative difference corresponds tohigher expected losses), assuming that all other factors are heldequal:

Moody's ratings of the Rated Notes address the expected lossesposed to noteholders. The ratings reflect the risks due to defaultson the underlying portfolio of assets, the transaction's legalstructure, and the characteristics of the underlying assets.

Greenwood Park is a managed cash flow CLO. The issued notes will becollateralized primarily by broadly syndicated senior securedcorporate loans. At least 90.0% of the portfolio must consist offirst lien senior secured loans, cash, and eligible investments,and up to 10.0% of the portfolio may consist of non senior securedloans. The portfolio is approximately 85% ramped as of the closingdate.

GSO / Blackstone Debt Funds Management LLC (the "Manager") willdirect the selection, acquisition and disposition of the assets onbehalf of the Issuer and may engage in trading activity, includingdiscretionary trading, during the transaction's five yearreinvestment period. Thereafter, the Manager may reinvestunscheduled principal payments and proceeds from sales of creditrisk assets, subject to certain restrictions.

In addition to the Rated Notes, the Issuer issued subordinatednotes.

The transaction incorporates interest and par coverage tests which,if triggered, divert interest and principal proceeds to pay downthe notes in order of seniority.

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in Section 2.3.2.1of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in August 2017.

For modeling purposes, Moody's used the following base-caseassumptions:

Par amount: $1,050,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2850

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inAugust 2017.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the Rated Notes is subject to uncertainty. Theperformance of the Rated Notes is sensitive to the performance ofthe underlying portfolio, which in turn depends on economic andcredit conditions that may change. The Manager's investmentdecisions and management of the transaction will also affect theperformance of the Rated Notes.

Together with the set of modeling assumptions above, Moody'sconducted an additional sensitivity analysis, which was a componentin determining the ratings assigned to the Rated Notes. Thissensitivity analysis includes increased default probabilityrelative to the base case.

Below is a summary of the impact of an increase in defaultprobability (expressed in terms of WARF level) on the Rated Notes(shown in terms of the number of notch difference versus thecurrent model output, whereby a negative difference corresponds tohigher expected losses), assuming that all other factors are heldequal:

Percentage Change in WARF -- increase of 15% (from 2850 to 3278)

Rating Impact in Rating Notches

Class A-1 Notes: -1

Class A-2 Notes: -1

Class B Notes: -2

Class C Notes: -2

Class D Notes: -1

Class E Notes: 0

Percentage Change in WARF -- increase of 30% (from 2850 to 3705)

Rating Impact in Rating Notches

Class A-1 Notes: -1

Class A-2 Notes: -1

Class B Notes: -4

Class C Notes: -4

Class D Notes: -2

Class E Notes: -1

GS MORTGAGE 2013-GCJ14: DBRS Corrects July 7 Press Release----------------------------------------------------------DBRS Limited corrected a July 7, 2017, press release that statedthe incorrect rating on Commercial Mortgage Pass-ThroughCertificates, Series 2013-GCJ14, Class X-C in the GS MortgageSecurities Trust 2013-GCJ14 transaction. The press release has beenamended with the correct rating and is as follows:

On July 7, 2017, DBRS confirmed all classes of Commercial MortgagePass-Through Certificates, Series 2013-GCJ14 (the Certificates)issued by GS Mortgage Securities Trust 2013-GCJ14 as follows:

Class PEZ is exchangeable with Classes A-S, B and C and vice versa.All trends are Stable.

The rating confirmations reflect the overall stable performance ofthe transaction, which has experienced a collateral reduction of6.3% since issuance with 81 of the original 84 loans remaining inthe pool as at the June 2017 remittance report. There are twoloans, representing 2.7% of the pool, that are fully defeased andscheduled to mature in July 2018. The remainder of the loans in thepool are scheduled to mature in 2023.

Based on the reported figures for YE2016, the transaction benefitsfrom a healthy in-place weighted-average (WA) debt service coverageratio (DSCR) of 1.80 times (x) and debt yield of 11.4% comparedwith the issuance levels of 1.70x and 10.4%, respectively, for thepool. The performance for the largest 15 non-defeased loans hasalso been strong since issuance with WA net cash flow growth of14.3% over the DBRS issuance figures and a WA DSCR of 1.86x basedon YE2016 reporting.

As at the June 2017 remittance report, there are nine loans,representing 19.9% of the pool (including three in the Top 15),that are on the servicer's watch list. Two of those loans, both inthe Top 15 and representing 13.0% of the pool, are on the watchlist for non-performance issues and are expected to be removed fromthe watch list with the July 2017 remittance. An additional fiveloans, representing 6.3% of the pool (including one in the Top 15),are being monitored for performance issues related to occupancy andupcoming tenant rollover. The remainder of the watch listed loansare being monitored for cash flow declines.

The ratings assigned to the Class C, D, E, F and G notes materiallydeviate from the higher ratings implied by the quantitativeresults. DBRS considers a material deviation to be a ratingdifferential of three or more notches between the assigned ratingand the rating implied by the quantitative results that is asubstantial component of a rating methodology. The deviations arewarranted, given the undemonstrated sustainability of loanperformance trends.

Stable Performance: Overall performance remains stable with nomaterial changes to pool metrics since issuance. No loans havetransferred to special servicing since issuance. As of the February2018 distribution date, all loans are current and the pool'saggregate balance has been reduced by 0.2% to $1.060 billion from$1.062 billion at issuance. One loan (4.5% of pool) is on theservicer's watchlist due to damage suffered from flooding as aresult of Hurricane Harvey.

Hurricane Exposure: Lyric Centre (4.5% of pool), which is securedby a 382,046 sf office building in Houston, TX, suffered damagefrom flooding as a result of Hurricane Harvey. According to themaster servicer's most recent watchlist comment in February 2018,the basements, underground garage and lobby suffered water damage.An insurance claim will be filed when damage assessments have beencompleted. No tenants were relocated due to the flooding. Theborrower is currently working with the servicer to receive Reservefunds to repair damages. As of February 2018, the borrower hasapproximately $444,000 in reserves of which $112,500 are designatedfor repairs. Occupancy and NOI debt service coverage ratio were 90%and 2.79x at issuance and 89% and 1.64x for YTD September 2017.

Pool Concentration: The top 10 loans make up 64.3% of the pool,which is above the respective 2016 and 2015 averages of 54.8% and49.3%. Loans secured by office, retail and hotel propertiesrepresent 41.9%, 19.9% and 2.6%, respectively. The largest loan,350 Park Avenue, which is secured by a 570,831 sf office propertyin New York, NY, comprises 9.4% of the pool.

Very Low Amortization: Based on the loans' scheduled maturitybalances, the pool is expected to amortize 4.4% during the term. 15loans (63.8% of pool) are full-term, interest-only and 12 loans(21.8%) have a partial-term, interest-only component.

High Percentage of Investment-Grade Credit Opinion Loans: Threeloans representing 14.3% of the pool have investment-grade creditopinions. The proportion of investment-grade credit opinion loansin this securitization exceeds the 2016 average concentration of8.4%. The credit opinion loans are the largest loan, 350 ParkAvenue (9.4%), the 14th largest loan, AMA Plaza (2.8%), and the18th largest loan, 225 Bush Street (2.1%).

RATING SENSITIVITIES

The Rating Outlooks on all classes remain Stable. Fitch does notforesee positive or negative ratings migration until a materialeconomic or asset-level event changes the transaction's overallportfolio-level metrics.

The Certificates are collateralized by a single loan backed by afirst lien commercial mortgage related to a portfolio of 13temperature controlled properties. The single borrower underlyingthe mortgage is comprised of 2 special-purpose bankruptcy-remoteentities, each of which is indirectly wholly owned and controlledby Blackstone Capital Partners VII NQ L.P.

Moody's approach to rating this transaction involved theapplication of Moody's Single Borrower and Interest-Onlymethodologies. The rating approach for securities backed by asingle loan compares the credit risk inherent in the underlyingproperty with the credit protection offered by the structure. Thestructure's credit enhancement is quantified by the maximumdeterioration in property value that the securities are able towithstand under various stress scenarios without causing anincrease in the expected loss for various rating levels. Inassigning single borrower ratings, Moody's also considers a rangeof qualitative issues as well as the transaction's structural andlegal aspects.

The credit risk of the loan is determined primarily by two factors:1) Moody's assessment of the probability of default, which islargely driven by the DSCR, and 2) Moody's assessment of theseverity of loss in the event of default, which is largely drivenby the LTV of the underlying loan.

The first mortgage balance of $365,000,000 represents a Moody's LTVof 105.9%. The Moody's First Mortgage Actual DSCR is 2.66X andMoody's First Mortgage Actual Stressed DSCR is 1.17X.

Loan collateral is comprised of the borrower's fee interest in 13temperature-controlled properties located within 6 states.Construction dates range between 1964 and 1999 and reflect anaverage age of 30 years.

Property subtypes based on Moody's classification includeProduction Attached/Advantaged (4 properties; 37.0% of TTM NCF;39.3% of the allocated loan balance) and public warehouse (9properties; 63.0% of TTM NCF; 60.7% of the allocated loan balance).Most of the facilities are well-suited for their use, exhibiting aweighted average clear height of 32 feet. For the twelve months upto December, 2017 the portfolio's average utilization rate was73.2%.

Moody's analysis for temperature controlled portfoliospredominantly focuses on five main factors. These include theassessment of (1) a facility's proximity to a Global GatewayIndustrial Market, agricultural and/or food producers, (2) BuildingSize, (3) Functionality of a facility, (4) Property Subtype whichis categorized into three distinct subgroups mainly PublicWarehouse, Production Attached/Advantaged, and Distribution/PortFacilities and (5) Utilization and Contracts with food producers,pharmaceutical companies, manufactures and farmers. With respect tothe portfolio collateral, Moody's assessment of the portfolio'svalue centers was positive with respect to facility size,functionality metrics, and proximity to agricultural demandgenerators.

Revenues for the underlying 13 properties are effectivelycross-collateralized. Loans secured by multiple properties benefitfrom lower cash flow volatility given that excess cash flow fromone property can be used to augment another's cash flow to meetdebt service requirements. The loan also benefit from the poolingof equity from each underlying property.

There are 2 borrowers which are all special purpose entities thatare 100% directly or indirectly owned by the Sponsor, who is thenon-recourse guarantor. The Borrowers are special purpose entitieswhose primary business is the performance of the obligations underthe loan documents and the ownership and operation of theproperties.

The principal methodology used in these ratings was "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017. The methodologies used in rating Cl.X-CP and Cl. X-FP were "Moody's Approach to Rating Large Loan andSingle Asset/Single Borrower CMBS" published in July 2017 and"Moody's Approach to Rating Structured Finance Interest-Only (IO)Securities" published in June 2017.

Moody's review incorporated the use of the excel-based Large LoanModel, which it uses for single borrower and large loanmulti-borrower transactions. The large loan model derives creditenhancement levels based on an aggregation of adjusted loan levelproceeds derived from Moody's loan level LTV ratios. Majoradjustments to determining proceeds include leverage, loanstructure, and property type. These aggregated proceeds are thenfurther adjusted for any pooling benefits associated with loanlevel diversity, other concentrations and correlations.

These ratings: (a) are based solely on information in the publicdomain and/or information communicated to Moody's by the issuer atthe date it was prepared and such information has not beenindependently verified by Moody's and (b) must be construed solelyas a statement of opinion and not a statement of fact or an offer,invitation, inducement or recommendation to purchase, sell or holdany securities or otherwise act in relation to the issuer or anyother entity or in connection with any other matter. Moody's doesnot guarantee or make any representation or warranty as to thecorrectness of any information, rating or communication relating tothe issuer. Moody's shall not be liable in contract, tort,statutory duty or otherwise to the issuer or any other third partyfor any loss, injury or cost caused to the issuer or any otherthird party, in whole or in part, including by any negligence (butexcluding fraud, dishonesty and/or willful misconduct or any othertype of liability that by law cannot be excluded) on the part of,or any contingency beyond the control of Moody's, or any of itsemployees or agents, including any losses arising from or inconnection with the procurement, compilation, analysis,interpretation, communication, dissemination, or delivery of anyinformation or rating relating to the issuer.

Factors that would lead to an upgrade or downgrade of the ratings:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range mayindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously anticipated. Factors that may cause anupgrade of the ratings include significant loan paydowns oramortization, an increase in the pool's share of defeasance oroverall improved pool performance. Factors that may cause adowngrade of the ratings include a decline in the overallperformance of the pool, loan concentration, increased expectedlosses from specially serviced and troubled loans or interestshortfalls.

Moody's ratings address only the credit risks associated with thetransaction. Other non-credit risks have not been addressed and mayhave a significant effect on yield to investors.

The ratings do not represent any assessment of (i) the likelihoodor frequency of prepayment on the mortgage loans, (ii) theallocation of net aggregate prepayment interest shortfalls, (iii)whether or to what extent prepayment premiums might be received, or(iv) in the case of any class of interest-only certificates, thelikelihood that the holders thereof might not fully recover theirinvestment in the event of a rapid rate of prepayment of themortgage loans.

The ratings are based on a review by DBRS of the followinganalytical considerations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.

-- Credit enhancement in the transaction is dynamic depending on the composition of the vehicles in the fleet and certain market value tests.

-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date.

-- The transaction parties' capabilities to effectively manage

rental car operations and dispose of the fleet to the extent necessary. -- Collateral credit quality and residual value performance.

-- The legal structure and its consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology, the presence of legal opinions (to be provided) that address the treatment of the operating lease as a true lease, the non-consolidation of the special-purpose vehicles with The Hertz Corporation (rated BB (low) with a Negative trend by DBRS) and its affiliates and that the trust has a valid first-priority security interest in the assets.

The note issuance is collateralized loan obligation (CLO)transaction backed primarily by broadly syndicatedspeculative-grade senior secured term loans governed by collateralquality tests. The transaction is a proposed refinancing of HPSLoan Management 6-2015 Ltd. issued in April 2015, which S&P did notrate.

Stable Performance and High Credit Enhancement (CE): The pool hasexhibited stable performance since Fitch's last rating action. Theupgrades reflect the increasing CE relative to the remaining poolbalance as a result of amortization and loan payoffs. All remainingassets are either defeased or fully amortizing performing loans.There are no specially serviced or servicer watchlist loans. Thetransaction has paid down approximately $4.7 million since Fitch'slast rating action.

Concentrated Pool: Only eight of the original 118 loans remain. Dueto the concentrated nature of the pool, Fitch performed asensitivity analysis that grouped the remaining loans based on loanstructural features, collateral quality, and performance, thenranked them by the perceived likelihood of repayment. This includesdefeased loans, fully amortizing loans, and a performing fullyamortizing loan with binary performance risk. The ratings reflectthis sensitivity analysis.

Defeasance: Three loans (47% of the pool balance) have fullydefeased. Based on the February 2018 balances, class J is fullycovered by defeasance and class K is 96% covered by defeasedcollateral. Based on the current amortization schedule of theremaining loans, class K is expected to be fully covered bydefeased collateral over the next three months. Interest shortfallsare considered unlikely for either class.

Fully Amortizing Loans with Binary Risk: The five non-defeasedloans (53% of the pool) are fully amortizing loans secured bysingle-tenant properties. Risks associated with the loans includesecondary market exposure and/or leases that expire prior to theloan maturity. The largest loan in the pool (45%) is a 384,763 sfindustrial/mixed-use property located in Las Vegas, NV. Theproperty is 100% leased to Southern Glazers Wine and Spirits, whoselease expires approximately 12 months prior to the loans maturityin November 2022. The loan has remained current since issuance, andreported a net operating income debt service coverage ratio of1.52x as of third quarter 2017. The remaining four loans (8.3%) aresecured by retail properties with triple-net leases to CVS (6.4%;three properties located in TX) and Walgreens (1.9%; one propertyin IL). Leases for one CVS property in Corpus Christi, TX (3.2%)and the Walgreens property in Alsip, IL (1.95%) both expire priorto their loan maturity.

RATING SENSITIVITIES

The Rating Outlooks are considered Stable due to defeasance,sufficient CE, and stable performance of the pool. Upward ratingmigration for class L is limited due to binary risks associatedwith the non-defeased collateral; however, further upgrades to theclass are possible with continued stable pool performance andincreased CE from additional paydown and/or defeasance. Whiledowngrades are not expected, they are possible should anasset-level or economic event cause a decline in pool performance.

Fitch upgrades the following classes: -- $5 million class K to to 'AAAsf' from 'Asf'; Outlook Stable; -- $5 million class L to 'BBBsf' from 'BBsf'; Outlook Stable.

The rating on Class A-J was affirmed because the transaction's keymetrics, including Moody's loan-to-value (LTV) ratio, Moody'sstressed debt service coverage ratio (DSCR) and the transaction'sHerfindahl Index (Herf), are within acceptable ranges. The ratingson Classes C and D were affirmed because the ratings are consistentwith Moody's expected loss.

The rating on Class B was downgraded due to higher anticipated andrealized losses from specially serviced loans.

The rating on the IO class, Cl. X-1, was affirmed based on thecredit quality of its referenced classes.

Moody's rating action reflects a base expected loss of 47.5% of thecurrent pooled balance, compared to 42.1% at Moody's last review.Moody's base expected loss plus realized losses is now 11.0% of theoriginal pooled balance, compared to 10.8% at the last review.Moody's provides a current list of base expected losses for conduitand fusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017. The methodologies used in rating Cl.X-1 were "Moody's Approach to Rating Structured FinanceInterest-Only (IO) Securities" published in June 2017 and "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017.

Moody's analysis incorporated a loss and recovery approach inrating the P&I classes in this deal since 55.5% of the pool is inspecial servicing. In this approach, Moody's determines aprobability of default for each specially serviced loan that itexpects will generate a loss and estimates a loss given defaultbased on a review of broker's opinions of value (if available),other information from the special servicer, available market dataand Moody's internal data. The loss given default for each loanalso takes into consideration repayment of servicer advances todate, estimated future advances and closing costs. Translating theprobability of default and loss given default into an expected lossestimate, Moody's then applies the aggregate loss from speciallyserviced to the most junior classes and the recovery as a pay downof principal to the most senior class.

DEAL PERFORMANCE

As of the February 12, 2018 distribution date, the transaction'saggregate certificate balance has decreased by 95% to $119.6million from $2.17 billion at securitization. The certificates arecollateralized by nine mortgage loans ranging in size from lessthan 1% to 29.5% of the pool. Two loans, constituting 12% of thepool, have defeased and are secured by US government securities.

Moody's uses a variation of Herf to measure the diversity of loansizes, where a higher number represents greater diversity. Loanconcentration has an important bearing on potential ratingvolatility, including the risk of multiple notch downgrades underadverse circumstances. The credit neutral Herf score is 40. Thepool has a Herf of 4, the same as at Moody's last review.

Two loans, constituting 6.3% of the pool, are on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Forty-six loans have been liquidated from the pool, resulting in anaggregate realized loss of $182.1 million (for an average lossseverity of 36%). Two loans, constituting 55.5% of the pool, arecurrently in special servicing. The largest specially serviced loanis the Fort Steuben Mall Loan ($35.3 million -- 29.5% of the pool),which is secured by a Class B regional mall in Steubenville, Ohio.The mall was originally anchored by Sears, JC Penney, Walmart,Dick's Sporting Goods, and Macy's, and is the only regional mallwithin a 30 miles radius. The loan transferred to special servicingin January 2016 when the borrower stated it will no longer coverthe debt service. Sears vacated the property in June 2016 andMacy's closed its location in March 2017. As of December 2017 themall was 71% leased, but only 55% occupied as a result of Macy'sclosure. Foreclosure occurred in February 2017 and the loan becameREO in April 2017. Moody's anticipates a significant loss on thisloan.

The second largest specially serviced loan is the South BrunswickSquare Loan ($31.1 million -- 26.0% of the pool), which is securedby a 142,800 square foot portion (SF) of a 260,980 SF retail centerlocated on Route 1 in South Brunswick / Monmouth Junction, NewJersey. The property is shadow anchor by Home Depot. The loantransferred to special servicing in August 2014 due to imminentdefault after the former grocery anchor tenant, Stop & Shop,vacated at its lease expiration in July 2014. The special servicerindicated they are working to complete foreclosure of thecollateral. All property cash flow is currently directed to alender-controlled lockbox. The property was 61% leased as of August2017, compared to 75% at Moody's last review. Moody's anticipates asignificant loss on this loan.

Moody's estimates an aggregate $56.1 million loss for the speciallyserviced loans (85% expected loss on average).

Moody's received full year 2016 operating results for 100% of thepool, and full or partial year 2017 operating results for 100% ofthe pool (excluding specially serviced and defeased loans). Moody'sweighted average conduit LTV is 97.0%, compared to 93.4% at Moody'slast review. Moody's conduit component includes five loans andexcludes loans with structured credit assessments, defeased and CTLloans, and specially serviced and troubled loans. Moody's net cashflow (NCF) reflects a weighted average haircut of 21.1% to the mostrecently available net operating income (NOI). Moody's valuereflects a weighted average capitalization rate of 9.1%.

Moody's actual and stressed conduit DSCRs are 1.13X and 1.06X,respectively, compared to 1.28X and 1.17X at the last review.Moody's actual DSCR is based on Moody's NCF and the loan's actualdebt service. Moody's stressed DSCR is based on Moody's NCF and a9.25% stress rate the agency applied to the loan balance.

The top three non-defeased performing loans represent 28.8% of thepool balance. The largest loan is the Discovery Channel BuildingLoan ($25.0 million -- 20.9% of the pool). The loan is secured by a148,530 SF office property located in downtown Silver Spring,Maryland. The property is 100% leased to Discovery Communications,a mass media company, through March 2025. The loan matures in July2020. Due to the single tenant exposure, Moody's value incorporatesa dark/lit analysis. Moody's LTV and stressed DSCR are 101% and0.99X, respectively.

The second largest loan is the Lewisville Town Center Loan ($4.9million -- 4.1% of the pool). The loan is secured by a 47,698 SFretail center located in Lewistown, a suburb of Dallas-Fort Worth,Texas. The property is located in a major retail corridor. Thelargest tenants include JP Morgan Chase, Korner Caf, andBatteries Plus Bulbs. As of September 2017, the property was 81%leased. Moody's LTV and stressed DSCR are 65% and 1.42X,respectively, compared to 66% and 1.41X at the last review.

The third largest loan is the Fairway Park Manor Loan ($4.6 million-- 3.8% of the pool), which is secured by a 100-unit apartmentcomplex located in Reno, Nevada, about three miles south of thedowntown area. As of September 2017, the property was 96% occupied,the same as at last review. Moody's LTV and stressed DSCR are 130%and 0.75X, respectively, compared to 135% and 0.72X at the lastreview.

JP MORGAN 2005-LDP4: Moody's Hikes Class C Debt Rating to B1------------------------------------------------------------Moody's Investors Service has affirmed the ratings on two classesand upgraded the ratings on two classes in J.P. Morgan ChaseCommercial Mortgage Securities Corp. Series 2005-LDP4:

The ratings on Classes B and C were upgraded primarily due to anincrease in credit support since Moody's last review, resultingfrom paydowns and amortization. The pool has paid down by 33.5%since Moody's last review.

The rating on Class D was affirmed because the ratings areconsistent with Moody's expected loss plus realized losses.

The rating on the IO class, Class X-1, was affirmed based on thecredit quality of the referenced classes.

Moody's rating action reflects a base expected loss of 12.7% of thecurrent pooled balance, compared to 26% at Moody's last review.Moody's base expected loss plus realized losses is now 8.8% of theoriginal pooled balance, compared to 9.3% at the last review.Moody's provides a current list of base expected losses for conduitand fusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017. The methodologies used in rating Cl.X-1 were "Moody's Approach to Rating Structured FinanceInterest-Only (IO) Securities" published in June 2017 and "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017.

DEAL PERFORMANCE

As of the February 15, 2018 distribution date, the transaction'saggregate certificate balance has decreased by 97.7% to $60.3million from $2.7 billion at securitization. The certificates arecollateralized by ten mortgage loans ranging in size from less than1% to 44.7% of the pool. One loan, constituting 0.6% of the pool,have defeased and are secured by US government securities.

Moody's uses a variation of Herf to measure the diversity of loansizes, where a higher number represents greater diversity. Loanconcentration has an important bearing on potential ratingvolatility, including the risk of multiple notch downgrades underadverse circumstances. The credit neutral Herf score is 40. Thepool has a Herf of 4, compared to 6 at Moody's last review.

Two loans, constituting 10.2% of the pool, are on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Twenty-eight loans have been liquidated from the pool with a loss,resulting in an aggregate realized loss of $229.2 million (for anaverage loss severity of 54.1%). One loan, constituting 13.1% ofthe pool, is currently in special servicing. The largest speciallyserviced loan is the Inverness Regional Shopping Center ($7.9million -- 13.1% of the pool), which is secured by a 204,000 squarefoot (SF) regional shopping center located in Inverness, Florida.At securitization, the property was anchored by a K-Mart (leaseexpiration; May 2016); Publix (lease expiration; May 2009); Beall'sOutlet (lease expiration; January 2021), of which, only Beall'sOutlet remains. The property was transferred to the specialservicer in December 2014 due to imminent monetary default and theproperty became REO in December 2015. As per the December 2017 rentroll, the property was 21% occupied by five tenants.

Moody's received full year 2016 and full or partial year 2017operating results for 100% of the pool (excluding speciallyserviced and defeased loans). Moody's weighted average conduit LTVis 83.6%, compared to 89.3% at Moody's last review. Moody's conduitcomponent excludes loans with structured credit assessments,defeased and CTL loans, and specially serviced and troubled loans.Moody's net cash flow (NCF) reflects a weighted average haircut of24.7% to the most recently available net operating income (NOI).Moody's value reflects a weighted average capitalization rate of9.8%.

Moody's actual and stressed conduit DSCRs are 1.26X and 1.62X,respectively, compared to 1.24X and 1.57X at the last review.Moody's actual DSCR is based on Moody's NCF and the loan's actualdebt service. Moody's stressed DSCR is based on Moody's NCF and a9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 72.3% of the pool balance.The largest loan is the 23 Main Street Loan ($26.9 million -- 44.7%of the pool), which is secured by a 350,000 square foot (SF)single-tenant office building located in Holmdel, New Jersey andserves as the corporate headquarters for Vonage. The property hadpreviously been transferred to the special servicer due touncertainty surrounding the renewal of the Vonage lease. Vonageelected to extend their lease through October 2023 and the loan wasreturned to the master servicer in May 2016. Moody's valueincorporates a Lit/Dark analysis to account for the single-tenantexposure. Moody's LTV and stressed DSCR are 99.2% and 1.14X,respectively, compared to 113% and 1.0X at the last review.

The second largest loan is the Silver Hills Apartments Loan ($9.4million -- 15.6% of the pool), which is secured by a 273 unitmultifamily property located in Orlando, Florida approximatelyeight miles northwest of the Orlando CBD. The property was 98%leased as of September 2017, compared to 99% leased as of December2016. The loan benefits from amortization and has amortized 16.8%since securitization. Moody's LTV and stressed DSCR are 69.3% and1.29X, respectively, compared to 72.4% and 1.24X at the lastreview.

The third largest loan is the Owens Corning Loan ($7.2 million --12% of the pool), which is secured by a 421,000 square foot (SF)warehouse facility located in Chester, North Carolina,approximately 45 miles southwest of Charlotte and 60 miles north ofColumbia, South Carolina. The property is 100% leased to BoralStone Products, a subsidiary of Boral Limited. The loan is fullyamortizing and has amortized 48% since securitization. Moody's LTVand stressed DSCR are 54% and 1.90X, respectively, compared to59.7% and 1.72X at the last review.

Specially Serviced Assets/Fitch Loans of Concern: The distressedratings on classes A-J and below reflect the significant percentageof the pool in special servicing and high percentage of Fitch Loansof Concern (FLOCs). Fitch has designated 27 loans/assets (66.2% ofcurrent pool) as FLOCs, including 24 loans/assets in specialservicing (53.8%). Of the assets in special servicing, 20 of them(47.2%) are real estate owned. The non-specially serviced loansidentified as FLOCs are generally due to high leverage (whencurrent cash flow is considered) or tenancy-related issues.Identified risks include modified debt, low debt service coverageratio, near term rollover and underperforming properties insecondary markets.

Pool Concentrations: The pool is concentrated with only 35 of theoriginal 253 loans remaining. Office and retail loans/assetscomprise 49.4% and 34% of the current pool, respectively. Thelargest loan, 131 South Dearborn, comprises 24.8% of the pool andwas modified into A/B notes. The top five loans represent 56.5% ofthe pool and the top 15 loans represent 87.4%. Due to theconcentrated nature of the pool, Fitch performed a sensitivityanalysis that grouped the remaining loans based on loan structurefeatures, collateral quality, and performance, then ranked them bythe perceived likelihood of repayment. This includes defeasedloans, fully amortizing loans, and a performing fully amortizingloan with binary performance risk. The ratings reflect thissensitivity analysis.

High Credit Enhancement: The senior classes benefit from highcredit enhancement.

Loan Maturities: The loan maturities for the non-specially servicedloans include 17.5% of the current pool in 2018, 1.4% in 2019, and27.3% in 2021. The one loan (1.4%) maturing in 2019 has beendefeased.

The largest performing loan in the pool is 131 South Dearborn(26.4%), which is secured by a 1.5 million square foot officeproperty located in the Central Loop submarket of Chicago, IL. Theloan was transferred to special servicing in May 2014 for imminentdefault. The borrower requested for loan modification discussionsdue to the primary tenant at that time, JPMorgan Chase wanting todownsize, the announcement of another large tenant, Seyfarth ShawLLC, planning to vacate in 2017, ahead of its 2022 leaseexpiration, and the upcoming expiration of another large tenant,Citadel, in October 2017.

The loan was modified in July 2016, along with the formation of anew ownership structure in Angelo Gordon and Hines. Modificationterms included the bifurcation of the trust debt into a $200million A-note and a $36 million B-note, the extension of loanmaturity for five years through December 2020 and the reduction ofthe current pay interest rate on the A-note to 4.50%. In exchangefor the loan modification, the new borrower contributed $27 millionof guaranteed new equity, funded a $7.5 million additional reserveaccount for leasing and capital cost, paid $9.8 million in closingcosts and spent $10 million to buyout the prior sponsor.

The loan was returned to the master servicer in November 2016. Asof the September 2017 rent roll, the property was 75% occupied.Recent leasing updates include Constellation Brands signing a newlease for a portion of the former Seyfarth Shaw space (11% of thenet rentable area [NRA]) commencing in March 2018 and expiringFebruary 2033; JPMorgan Chase extending its lease on 17% of the NRAthrough December 2023, Holland and Knight extending its lease on6.9% of the NRA through July 2019, Sprout Social entering into adirect lease on the seventh floor (4.2%) through January 2028 andCitadel entering into a direct lease on the ninth and 11th floors(5.7%) through December 2023. With the new leasing the property isprojected to be approximately 86% occupied. Overall the propertyappears to be stabilizing.

The second largest performing loan in the pool is the DiscoverMills (12.1%). The full term interest-only loan is secured by the1.2 million sf Discover Mills Mall located in Lawrenceville, GA.The loan was previously in special servicing when it defaulted atits December 2013 maturity date. It was subsequently modified andextended and now matures in December 2018. Loan principal has beenreduced due to cash trap provisions requiring that all excess cashgo to pay down loan principal. As of September 2017, inline saleswere $283 psf, similar to the prior year. Fitch remains concernedabout the loan refinancing at its upcoming maturity.

The largest specially serviced loan is the Colony IV Portfolio loan(15.2% of pool). The asset consists of 20 cross-collateralizedindustrial and office properties, which are located acrossIllinois, Virginia, Massachusetts and New Jersey. All of theforeclosures have been completed with the exception of the Illinoisproperties which are still pending.

As of the March 2017 distribution date, the pool's aggregateprincipal balance has been reduced by 81% to $895 million from$4.89 billion at issuance. Cumulative interest shortfalls totaling$48.5 million are affecting classes AJ and A-JS through NR.

RATING SENSITIVITIES

The affirmation of classes A-3SFL and A-3SFX reflect the highcredit enhancement and expected continued paydown. The affirmationsof classes A-M and A-MS reflect stable pool metrics since Fitch'slast rating action. Upgrades to these classes are possible shouldthe Discover Mills loan pay in full at its upcoming maturity.Distressed classes (those rated below 'Bsf') may be subject tofurther rating actions as losses are realized.

Fitch Loans of Concern: Fitch has designated six loans (13.3% ofcurrent pool) as Fitch Loans of Concern (FLOCs), which includesfour top-15 loans (11.8%) and one specially serviced loan (0.6%).The Northtowne Mall property in the Gumberg Retail Portfolio (4.6%)will lose another anchor tenant - Elder-Beerman recently announcedin January 2018 it will close its store at the property within thenext few months. In addition, Sears vacated in August 2016, aheadof its lease expiration. Occupancy at the property is expected todecline further to approximately 60%. The Muncie Mall (2.6%) hascontinued to experience declining anchor and inline sales. Sears,which has an upcoming lease expiration in August 2019, reportedweak sales of $34 psf in 2017. The Residence Inn Anaheim (2.5%) hasexperienced declining NOI over the past two years due to an influxof new supply. The Four Points Centre (2.1%) is subject tosignificant near-term lease roll, including the largest tenant(23.2% of NRA), which has already provided notice it will bevacating in spring of 2019. The FLOC outside of the top 15 (0.9%)is a multifamily property in Dublin, OH that has been flagged fordeclining NOI since 2014.

Specially Serviced Loans: The Grand Williston Hotel and ConferenceCenter loan (0.6%), which is secured by a 147-key full-servicehotel located adjacent to the Sloulin Field International Airportin Williston, ND, transferred to special servicing in March 2017for payment default. Property performance saw the negative effectof the economic stress of the Bakken oil and shale region. Per theNovember 2017 STR report, property occupancy, ADR and RevPAR forthe TTM period were 33.5%, $61.22 and $20.53, respectively. RevPARpenetration rate was 65.4%. The special servicer has hired anexperienced marketing manager and general manager in the localmarket to improve performance prior to marketing the property forsale in spring 2018.

Pool Concentrations: Loans secured by office properties represent27.3% of the pool, including two of the top five properties locatedin New York. Loans secured by hotel properties represent 10.1% ofthe pool, including two of the top 15 properties located in theAnaheim, CA market (4.7%).

Limited Amortization: As of the February 2018 remittance reporting,the pool's aggregate principal balance has paid down by 5% to $1.34billion from $1.41 billion at issuance. Full-term interest-onlyloans comprise 37.8% of the current pool and loans that still havea partial interest-only component during their remaining loan termcomprise 0.9%, compared to 29.4% of the original pool at issuance.Two loans (2.1% of current pool) have been defeased.

RATING SENSITIVITIES

The Negative Outlook on class F reflects potential downgradeconcerns if performance of the Muncie Mall declines further and/orlosses on the specially serviced Grand Williston Hotel exceedFitch's expectations. In addition, the transaction's retailconcentration is high at 42%. Fitch ran an additional sensitivityscenario on the Muncie Mall to reflect the potential for higherlosses given declining inline and anchor sales and Sears' upcominglease rollover in August 2019. The Rating Outlooks on classes A-2through E remain Stable due to the relatively stable performance ofthe majority of the remaining pool, sufficient credit enhancementand expected continued amortization. Rating upgrades, althoughunlikely due to pool concentrations, may occur with improved poolperformance and additional paydown or defeasance.

The class A-1 has paid in full. Fitch does not rate the class NR,CSQ and the interest-only X-C certificates. Class A-S, B, and Ccertificates may be exchanged for a related amount of class ECcertificates, and class EC certificates may be exchanged for classA-S, B, and C certificates.

Credit Suisse Asset Management, LLC (the "Manager") manages theCLO. It directs the selection, acquisition, and disposition ofcollateral on behalf of the Issuer.

RATINGS RATIONALE

Moody's ratings on the Refinancing Notes address the expected lossposed to noteholders. The ratings reflect the risks due to defaultson the underlying portfolio of assets, the transaction's legalstructure, and the characteristics of the underlying assets.

The Issuer has issued the Refinancing Notes on March 2, 2018 (the"Refinancing Date") in connection with the refinancing of certainclasses of notes (the "Refinanced Original Notes") previouslyissued on December 29, 2015. On the Refinancing Date, the Issuerused the proceeds from the issuance of the Refinancing Notes toredeem in full the Refinanced Original Notes.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inAugust 2017.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of each class of the Issuer's notes is subject touncertainty relating to certain factors and circumstances, and thisuncertainty could lead Moody's to change its ratings:

1) Macroeconomic uncertainty: CLO performance is subject touncertainty about credit conditions in the general economy.

2) Collateral Manager: Performance can also be affected positivelyor negatively by a) the Manager's investment strategy and behaviorand b) differences in the legal interpretation of CLO documentationby the Manager or other transaction parties owing to embeddedambiguities.

3) Collateral credit risk: Investing in collateral of better creditquality, or better than Moody's expected credit performance of theassets collateralizing the transaction can lead to positive CLOperformance. Conversely, a negative shift in the credit quality orperformance of the collateral can have adverse consequences for CLOperformance.

4) Deleveraging: During the amortization period, the pace ofdeleveraging from unscheduled principal proceeds is an importantsource of uncertainty. Deleveraging of the CLO could accelerateowing to high prepayment levels in the loan market and/orcollateral sales by the Manager, which could have a significantimpact on the ratings. Note repayments that are faster than Moody'scurrent expectations will usually have a positive impact on CLOnotes, beginning with those notes having the highest paymentpriority.

5) Recovery of defaulted assets: Fluctuations in the market valueof defaulted assets could result in volatility in the deal'sovercollateralization levels. Further, the timing of recoveryrealization and whether the Manager decides to work out or selldefaulted assets create additional uncertainty. Realization ofrecoveries that are either materially higher or lower than assumedin Moody's analysis would impact the CLO positively or negatively,respectively.

6) Weighted average life: The notes' ratings can be sensitive tothe weighted average life assumption of the portfolio, which couldlengthen owing to any decision by the Manager to reinvest into newissue loans or loans with longer maturities, or participate inamend-to-extend offerings. Life extension can increase the defaultrisk horizon and assumed cumulative default probability of CLOcollateral.

7) Weighted Average Spread (WAS): CLO performance can be sensitiveto WAS, which is a key factor driving the amount of excess spreadavailable as credit enhancement when a deal fails itsover-collateralization or interest coverage tests. A decrease inexcess spread, including as a result of losing the net interestbenefit of LIBOR floors, or because market conditions make itdifficult for the deal to source assets of appropriate creditquality in order to maintain its WAS target, would reduce theeffective credit enhancement available for the notes.

Together with the set of modeling assumptions described below,Moody's conducted additional sensitivity analyses, which wereconsidered in determining the ratings assigned to the rated notes.In particular, in addition to the base case analysis, Moody'sconducted sensitivity analyses to test the impact of a number ofdefault probabilities on the rated notes relative to the base casemodeling results. Below is a summary of the impact of differentdefault probabilities, expressed in terms of WARF level, on therated notes (shown in terms of the number of notches differenceversus the base case model output, where a positive differencecorresponds to a lower expected loss):

Moody's Assumed WARF - 20% (2306)

Class C-R: +3

Class D-R: +1

Class E-R: +1

Moody's Assumed WARF + 20% (3458)

Class C-R: -1

Class D-R: -2

Class E-R: -3

Loss and Cash Flow Analysis:

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in "Moody's GlobalApproach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, diversity score, weighted averagerecovery rate, and weighted average spread, are based on itspublished methodology and could differ from the trustee's reportednumbers. For modeling purposes, Moody's used the followingbase-case assumptions

Moody's incorporates the default and recovery properties of thecollateral pool in cash flow model analysis where they are subjectto stresses as a function of the target rating on each CLOliability reviewed. Moody's derives the default probability fromthe credit quality of the collateral pool and Moody's expectationof the remaining life of the collateral pool. The average recoveryrate for future defaults is based primarily on the seniority of theassets in the collateral pool. In each case, historical and marketperformance and the collateral manager's latitude for trading thecollateral are also factors.

The upgrades are primarily due to the total credit enhancementavailable to the bonds. The rating action on Morgan Stanley CapitalI Inc. Trust 2006-HE1, Class M-1 also reflects a correction to thecash-flow model previously used by Moody's in rating thistransaction. In prior rating actions, the cash flow modeling didnot reimburse losses and arrears after the tranches reached a zerobalance, thus overestimating the projected losses on some tranches.This error has now been corrected, and rating action reflects thischange. The actions also reflect the recent performance of theunderlying pools and Moody's updated loss expectations on thepools.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in January 2017.

Factors that would lead to an upgrade or downgrade of the ratings:

Ratings in the US RMBS sector remain exposed to macroeconomicuncertainty, and in particular the unemployment rate. Theunemployment rate fell to 4.1% in January 2018 from 4.8% in January2017. Moody's forecasts an unemployment central range of 3.5% to4.5% for the 2018 year. Deviations from this central scenario couldlead to rating actions in the sector. House prices are another keydriver of US RMBS performance. Moody's expects house prices tocontinue to rise in 2018. Lower increases than Moody's expects ordecreases could lead to negative rating actions. Finally,performance of RMBS continues to remain highly dependent onservicer procedures.

The rating confirmations reflect the overall stable performance ofthe transaction since issuance. As of the December 2017 remittance,56 of the original 64 loans remained in the pool with an aggregateprincipal balance of $1.12 billion, representing a collateralreduction of 19.5% since issuance as a result of scheduled loanamortization and successful loan repayments. One loan, OakridgeOffice Park (Prospectus ID#25; approximately 1.3% of theoutstanding pool balance at disposition), has been liquidated fromthe pool since issuance. The loan was disposed in January 2017 at aloss of $2.8 million (loss severity of 17.8%), all of which wascontained to the unrated Class H certificate.

Of the remaining loans, 54 are reporting YE2016 financials; basedon these figures, the pool reported a weighted-average debt servicecoverage ratio and in-place debt yield of 1.84 times and 10.8%,respectively. Both performance metrics are in line with the figuresreported for YE2015.

As of the December 2017 remittance, there were three loans on theservicer's watchlist representing 4.4% of the pool and no loans inspecial servicing. Two of the loans on the watch list are beingmonitored for cash flow declines, and the third loan is on thewatch list for the borrower's failure to comply with a lockboxactivation triggered by an upcoming rollover for a significanttenant.

Classes X-A and X-B are interest-only (IO) certificates thatreference a single rated tranche or multiple rated tranches. The IOrating mirrors the lowest-rated reference tranche adjusted upwardby one notch if senior in the waterfall.

The rating confirmations reflect the overall performance of thetransaction, which has remained stable year over year sinceissuance. As at the September 2017 remittance, 56 of the original58 loans remain in the transaction, as there has been a collateralreduction of 4.6% since issuance. Based on the most recent YE2016financials, the pool reported a weighted-average (WA) debt servicecoverage ratio and WA debt yield of 1.90 times (x) and 11.9%,respectively. In comparison, these figures in YE2015 were 1.89x and11.6%, respectively.

As at the September 2017 remittance, there are eight loans on theservicer's watchlist, representing 9.9% of the current poolbalance. While four loans, cumulatively representing 1.9% of thecurrent pool balance, have been flagged for non-performance-relatedreasons, the largest loan on the servicer's watch list continues toexhibit declined performance. The Aspen Heights Columbia loan(3.6% of the current pool balance) is secured by a student housingproperty in Columbia, Missouri, home to the University of Missouri.The subject continues to struggle year over year because ofdeclining occupancy and rental rates.

At issuance, DBRS shadow-rated the JW Marriott and Fairfield Innloan (Prospectus ID#5; 5.3% of the current pool balance) and theCourtyard Isla Verde Beach Resort loan (Prospectus ID#19; 2.0% ofthe current pool balance) as investment grade. DBRS has confirmedthat the performance of these loans remains consistent withinvestment-grade loan characteristics. The Courtyard Isla VerdeBeach Resort loan is secured by a hotel property in Puerto Rico,which was recently affected by Hurricanes Irma and Maria. DBRS wasable to confirm that the property was not listed on any SignificantInsurance Event report provided by the servicer and that thesubject remains open as it did not suffer major damage as a resultof either storm.

Classes X-A, X-B and X-C are interest-only (IO) certificates thatreference a single rated tranche or multiple rated tranches. The IOrating mirrors the lowest-rated reference tranche adjusted upwardby one notch if senior in the waterfall.

The rating confirmations reflect the overall stable performance ofthe transaction since issuance, when the pool consisted of 88fixed-rate loans secured by 102 commercial and multifamilyproperties. As of the December 2017 remittance, all loans remainedin the pool, with an aggregate principal balance of approximately$1.12 billion, representing a collateral reduction of 2.3% sinceissuance as a result of scheduled amortization. There are currently15 loans (26.3% of the pool) with remaining partial interest-only(IO) periods, ranging from one to 24 months, while eight loans(9.1% of the pool) were structured with full IO terms. One loan(0.9% of the pool) is secured by collateral that has been fullydefeased. To date, 61 loans (69.3% of the pool) reportedpartial-year 2017 financials, while 86 loans (97.7% of the pool)reported YE2016 financials. Based on the most recent year-endfinancial reporting, the transaction had a weighted-average (WA)debt service coverage ratio (DSCR) and WA debt yield of 1.63 times(x) and 10.0%, respectively, compared with the DBRS WA Term DSCRand WA DBRS Debt Yield derived at issuance of 1.47x and 8.9%,respectively.

The pool is concentrated by property type, as 11 loans,representing 38.1% of the pool, are secured by office properties,while 14 loans (15.9% of the pool) are secured by multifamilyproperties and 18 loans (20.5% of the pool) are secured by hotelproperties. By loan size, the pool is relatively diverse, as thelargest 15 loans represent 49.1% of the pool, a lower concentrationas compared with transactions of similar vintage to the subject.Based on the most recent cash flows available, the top 15 loansreported a WA DSCR of 1.72x, compared with the WA DBRS Term DSCR of1.40x, which is reflective of a 21.1% net cash flow growth over theDBRS issuance figures.

As of the December 2017 remittance, there is one loan (0.6% of thepool) in special servicing and one loan (0.6% of the pool) on theservicer's watch list. The loan in special servicing, Holiday InnExpress Syracuse (Prospectus ID#53), transferred to specialservicing in September 2017 because of payment default. Based onthe October 2017 appraisal, property value has dropped byapproximately 56.4% since issuance. The loan on the servicer'swatch list, Dover Pointe (Prospectus ID#59), was flagged because ofproperty damage sustained during Hurricane Harvey. For furtherinformation on these loans, please see the DBRS Loan Commentary onthe DBRS Viewpoint platform, for which registration information isprovided below.

Classes X-A, X-B, X-D, X-E and X-F are interest-only (IO)certificates that reference a single rated tranche or multiplerated tranches. The IO rating mirrors the lowest-rated referencetranche adjusted upward by one notch if senior in the waterfall.

The certificates are backed by a pool that includes 1,558 inactivehome equity conversion mortgages (HECMs) and 233 real estate owned(REO) properties. The servicer for the deal is Nationstar MortgageLLC (Nationstar). The complete rating actions are:

Issuer: Nationstar HECM Loan Trust 2018-1

Class A, Assigned (P)Aaa (sf)

Class M1, Assigned (P)Aa3 (sf)

Class M2, Assigned (P)A3 (sf)

Class M3, Assigned (P)Baa3 (sf)

Class M4, Assigned (P)Ba3 (sf)

RATINGS RATIONALE

The collateral backing NHLT 2018-1 consists of first-lien inactiveHECMs covered by Federal Housing Administration (FHA) insurancesecured by properties in the US along with Real-Estate Owned (REO)properties acquired through conversion of ownership of reversemortgage loans that are covered by FHA insurance. If a borrower ortheir estate fails to pay the amount due upon maturity or otherwisedefaults, the sale of the property is used to recover the amountowed. Nationstar acquired the mortgage assets from Ginnie Maesponsored HECM mortgage backed (HMBS) securitizations. All of themortgage assets are covered by FHA insurance for the repayment ofprincipal up to certain amounts. 17.1% of the collateral is fromthe recently collapsed NHLT 2016-2 transaction and 24.1% of thecollateral is from the recently collapsed NHLT 2016-3 transaction.

There are 1,791 mortgage assets with a balance of $443,229,218. Theassets are in either default, due and payable, referred,foreclosure or REO status. Loans that are in default may move todue and payable; due and payable loans may move to foreclosure; andforeclosure loans may move to REO. 26.7% of the assets are indefault of which 10.0% (of the total assets) are in default due tonon-occupancy and 16.8% (of the total assets) are in default due todelinquent taxes and insurance. 14.7% of the assets are due andpayable, 44.4% of the assets are in foreclosure and 2.2% of theassets are in referred status. Finally, 12.0% of the assets are REOproperties and were acquired through foreclosure or deed-in-lieu offoreclosure on the associated loan. If the value of the relatedmortgaged property is greater than the loan amount, some of theseloans may be settled by the borrower or their estate.

As with most NHLT transactions Moody's has rated, the pool has asignificant concentration of mortgage assets backed by propertiesin New York, New Jersey and Florida. Such states are judicialforeclosure states with long foreclosure timelines. Up to 2.3% ofthe assets are backed by properties that are in areas affected byHurricane Harvey (based on information from FEMA, Texas governordeclarations, and local disaster declarations). Up to 11.0% of theassets are backed by properties in areas affected by Hurricane Irma(based on information from FEMA and governor declarations). Also,6.8% of the assets are backed by properties in California, parts ofwhich have recently been hit by wildfires. Finally, there are 27assets (1.0% of the asset balance) in NHLT 2018-1 that are backedby properties in Puerto Rico, which is still recovering fromHurricane Maria and suffering from poor economic conditions due toa public debt crisis and continued out-migration. Moody's creditratings reflect state-specific foreclosure timeline stresses aswell as adjustments for risks associated with the recent hurricanesand the real estate market in Puerto Rico.

Transaction Structure

The securitization has a sequential liability structure amongst sixclasses of notes with structural subordination. All fundscollected, prior to an acceleration event, are used to makeinterest payments to the notes, then principal payments to theClass A notes, then to a redemption account until the amount ondeposit in the redemption account is sufficient to cover futureprincipal and interest payments for the subordinate notes up totheir expected final payment dates. The subordinate notes will notreceive principal until the beginning of their respective targetamortization periods (in the absence of an acceleration event). Thenotes benefit from structural subordination as credit enhancement,and an interest reserve account funded with cash received from theinitial purchasers of the notes for liquidity and creditenhancement.

The transaction is callable on or after six months with a 1.0%premium and on or after 12 months without a premium. The mandatorycall date for the Class A notes is in February 2020. For the ClassM1 notes, the expected final payment date is in July 2020. For theClass M2 notes, the expected final payment date is in September2020. For the Class M3 notes, the expected final payment date is inDecember 2020. For the Class M4 notes, the expected final paymentdate is in April 2021. Finally, for the Class M5 notes, theexpected final payment date is in September 2021. For each of thesubordinate notes, there are target amortization periods thatconclude on the respective expected final payment dates. The legalfinal maturity of the transaction is 10 years.

Available funds to the transaction are expected to primarily comefrom the liquidation of REO properties and receipt of FHA insuranceclaims. These funds will be received with irregular timing. In theevent that there are insufficient funds to pay interest in a givenperiod, the interest reserve account may be utilized. Additionally,any shortfall in interest will be classified as an available fundscap shortfall. These available funds cap carryover amounts willhave priority of payments in the waterfall and will also accrueinterest at the respective note rate.

Certain aspects of the waterfall are dependent upon Nationstarremaining as servicer. Servicing fees and servicer relatedreimbursements are subordinated to interest and principal paymentswhile Nationstar is servicer. However, servicing advances willinstead have priority over interest and principal payments in theevent that Nationstar defaults and a new servicer is appointed.

Third-Party Review

A third party firm conducted a review of certain characteristics ofthe mortgage assets on behalf of Nationstar. The review focused ondata integrity, FHA insurance coverage verification, accuracy ofappraisal recording, accuracy of occupancy status recording,borrower age documentation, identification of excessive corporateadvances, documentation of servicer advances, and identification oftax liens with first priority in Texas. Also, broker price opinions(BPOs) were ordered for 302 properties in the pool and fullappraisals were ordered for two properties in the pool.

The TPR firm conducted an extensive data integrity review. Certaindata tape fields, such as the mortgage insurance premium (MIP)rate, the current UPB, current interest rate, and marketable titledate were reviewed against Nationstar's servicing system. However,a significant number of data tape fields were reviewed againstimaged copies of original documents of record, screen shots ofHUD's HERMIT system, or HUD documents. Some key fields reviewed inthis manner included the original note rate, the debenture rate,foreclosure first legal date, and the called due date.

The results of the third-party review (TPR) are comparable toprevious NHLT transactions in many respects. However, the number ofexceptions related to data integrity, accuracy of reportedvaluations, and foreclosure and bankruptcy attorney fees was higherthan in other recently rated NHLT transactions. NHLT 2018-1's TPRresults showed a 1.6% initial-tape exception rate related to dataintegrity, a 25.8% initial-tape exception rate related to theaccuracy of reported valuations, and a 29.4% initial-tape exceptionrate related to foreclosure and bankruptcy attorney fees. Thiscompares to 0.4%, 2.4% and 24.2% initial-tape exception rates forNHLT 2017-2 in these categories respectively. In Moody's analysisof the pool, Moody's applied adjustments to account for the TPRresults in certain areas.

Reps & Warranties (R&W)

Nationstar is the loan-level R&W provider and is rated B2 (Stable).This relatively weak financial profile is mitigated by the factthat Nationstar will subordinate its servicing advances, servicingfees, and MIP payments in the transaction and thus has significantalignment of interests. However, unlike in previous NHLTtransactions, Nationstar will not commit to retaining a 5.0% neteconomic interest in the securitization. Another factor mitigatingthe risks associated with a financially weak R&W provider is that athird-party due diligence firm conducted a review on the loans forevidence of FHA insurance.

Nationstar represents that the mortgage loans are covered by FHAinsurance that is in full force and effect. Nationstar providesfurther R&Ws including those for title, first lien position,enforceability of the lien, and the condition of the property.Although Nationstar provides a no fraud R&W covering theorigination of the mortgage loans, determination of value of themortgaged properties, and the sale and servicing of the mortgageloans, the no fraud R&W is made only as to the initial mortgageloans. Aside from the no fraud R&W, Nationstar does not provide anyother R&W in connection with the origination of the mortgage loans,including whether the mortgage loans were originated in compliancewith applicable federal, state and local laws. Although certainrepresentations are knowledge qualified, the transaction documentscontain language specifying that if a representation would havebeen breached if not for the knowledge qualifier then Nationstarwill repurchase the relevant asset as if the representation hadbeen breached.

Upon the identification of an R&W breach, Nationstar has to curethe breach. If Nationstar is unable to cure the breach, Nationstarmust repurchase the loan within 90 days from receiving thenotification. Moody's believe the absence of an independent thirdparty reviewer who can identify any breaches to the R&W makes theenforcement mechanism weak in this transaction. Also, Nationstar,in its good faith, is responsible for determining if a R&W breachmaterially and adversely affects the interests of the trust or thevalue the collateral. This creates the potential for a conflict ofinterest.

When analyzing the transaction, Moody's reviewed the transaction'sexposure to large potential indemnification payments owed totransaction parties due to potential lawsuits. In particular,Moody's assessed the risk that the acquisition trustee would besubject to lawsuits from investors for a failure to adequatelyenforce the R&Ws against the seller. Moody's believe that NHLT2018-1 is adequately protected against such risk in part because athird-party data integrity review was conducted on a significantrandom sample of the loans. In addition, the third-party duediligence firm verified that all of the loans in the pool arecovered by FHA insurance.

Trustee & Master Servicer

The acquisition and owner trustee for the NHLT 2018-1 transactionis Wilmington Savings Fund Society, FSB. The paying agent and cashmanagement functions will be performed by U.S. Bank NationalAssociation. U.S. Bank National Association will also serve as theclaims payment agent and as such will be the HUD mortgagee ofrecord for the mortgage assets in the pool.

Methodology

The methodologies used in these ratings were "Moody's Approach toRating Securitisations Backed by Non-performing and Re-PerformingLoans" published in August 2016, and "Moody's Global Approach toRating Reverse Mortgage Securitizations" published in May 2015.

Moody's quantitative asset analysis is based on a loan-by-loanmodeling of expected payout amounts given the structure of FHAinsurance and with various stresses applied to model parametersdepending on the target rating level.

FHA insurance claim types: funds come into the transactionprimarily through the sale of REO properties and through FHAinsurance claim receipts. There are uncertainties related to theextent and timing of insurance proceeds received by the trust dueto the mechanics of the FHA insurance. HECM mortgagees may sufferlosses if a property is sold for less than its appraised value.

The amount of insurance proceeds received from the FHA depends onwhether a sales based claim (SBC) or appraisal based claim (ABC) isfiled. SBCs are filed in cases where the property is successfullysold within the first six months after the servicer has acquiredmarketable title to the property. ABCs are filed six months afterthe servicer has obtained marketable title if the property has notyet been sold. For an SBC, HUD insurance will cover the differencebetween (i) the loan balance and (ii) the higher of the sales priceand 95.0% of the latest appraisal, with the transaction on the hookfor losses if the sales price is lower than 95.0% of the latestappraisal. For an ABC, HUD only covers the difference between theloan amount and 100% of appraised value, so failure to sell theproperty at the appraised value results in loss.

Moody's expect ABCs to have higher levels of losses than SBCs. Thefact that there is a delay in the sale of the property usuallyimplies some adverse characteristics associated with the property.FHA insurance will not protect against losses to the extent that anABC property is sold at a price lower than the appraisal valuetaken at the six month mark of REO. Additionally, ABCs do not coverthe cost to sell properties (broker fees) while SBCs do cover thesecosts. For SBCs, broker fees are reimbursable up to 6.0%ordinarily. Moody's base case expectation is that properties willbe sold for 13.5% less than their appraisal value for ABCs. This isbased on the historical experience of Nationstar. Moody's stressedthis percentage at higher credit rating levels. At a Aaa ratinglevel, Moody's assumed that ABC appraisal haircuts could reach upto 30.0%.

In Moody's asset analysis, Moody's also assumed there would be somelosses for SBCs, albeit lower amounts than for ABCs. Based onhistorical performance, in the base case scenario Moody's assumedthat SBCs would suffer 1.0% losses due to a failure to sell theproperty for an amount equal to or greater than 95.0% of the mostrecent appraisal. Moody's stressed this percentage at higher creditrating levels. At a Aaa rating level, Moody's assumed that SBCappraisal haircuts could reach up to 11.0% (i.e., 6.0% below95.0%).

Under Moody's analytical approach, each loan is modeled to gothrough both the ABC and SBC process with a certain probability.Each loan will thus have both of the sales disposition payments andassociated insurance payments (four payments in total). Allpayments are then probability weighted and run through a modeledliability structure. Based on the historical experience ofNationstar, for the base case scenario Moody's assumed that 85% ofclaims would be SBCs and the rest would be ABCs. Moody's stressedthis assumption and assumed higher ABC percentages for higherrating levels. At a Aaa rating level, Moody's assumed that 85% ofinsurance claims would be submitted as ABCs.

Liquidation process: each mortgage asset is categorized into one offour categories: default, due and payable, foreclosure and REO. InMoody's analysis, Moody's assume loans that are in referred statusto be either in foreclosure or REO category. The loans are assumedto move through each of these stages until being sold out of REO.Moody's assumed that loans would be in default status for sixmonths. Due and payable status is expected to last six to 12 monthsdepending on the default reason. Foreclosure status is based on thestate in which that the related property is located and is furtherstressed at higher rating levels. The base case foreclosuretimeline is based on FHA timeline guidance. REO disposition isassumed to take place in six months with respect to SBCs and 12months with respect to ABCs.

Debenture interest: the receipt of debenture interest is dependentupon performance of certain actions within certain timelines by theservicer. If these timeline and performance benchmarks are not metby the servicer, debenture interest is subject to curtailment.Moody's base case assumption is that 95.0% of debenture interestwill be received by the trust. Moody's stressed the amount ofdebenture interest that will be received at higher rating levels.Moody's debenture interest assumptions reflect the requirement thatNationstar (B2, Stable) reimburse the trust for debenture interestcurtailments due to servicing errors or failures to comply with HUDguidelines.

* In most cases, the most recent appraisal value was used as theproperty value in Moody's analysis. However, for seasonedappraisals Moody's applied a 15.0% haircut to account for potentialhome price depreciation between the time of the appraisal and thecut-off date.

* Mortgage loans with borrowers that have significant equity intheir homes are likely to be paid off by the borrowers or theirheirs rather than complete the foreclosure process. Moody'sestimated which loans would be bought out of the trust by comparingeach loans' appraisal value (post haircut) to its UPB.

* Moody's assumed that foreclosure costs will average $4,500 perloan, two thirds of which will be reimbursed by the FHA. Moody'sthen applied a negative adjustment to this amount based on the TPRresults.

Moody's ran additional stress scenarios that were designed to mimicexpected cash flows in the case where Nationstar is no longer theservicer. Moody's assume the following in the situation whereNationstar is no longer the servicer:

* Servicing advances and servicing fees: While Nationstarsubordinates their recoupment of servicing advances, servicingfees, and MIP payments, a replacement servicer will not subordinatethese amounts.

* Nationstar indemnifies the trust for lost debenture interest dueto servicing errors or failure to comply with HUD guidelines. Inthe event of a bankruptcy, Nationstar will not have the financialcapacity to do so.

* A replacement servicer may require an additional fee and thusMoody's assume a 25 bps strip will take effect if the servicer isreplaced.

* One third of foreclosure costs will be removed from salesproceeds to reimburse a replacement servicer (one third offoreclosure costs are not reimbursable under FHA insurance). Thisis typically on the order of $1,500 per loan.

To account for risks posed by the recent hurricanes and wildfires,Moody's assumed the following:

* To account for potential delays in the foreclosure process,Moody's added three months to the foreclosure timeline in the basecase scenario for foreclosure-status properties that are located inhurricane and wildfire affected areas. At a Aaa (sf) rating level,this timeline stress is multiplied by 1.6x and so this equates toadding an additional 4.8 months to foreclosure timelines in a Aaa(sf) scenario.

* For certain properties located in hurricane and wildfire impactedareas, Moody's assumed that a higher percentage of insurance claimswould be submitted as ABCs as a result of the hurricanes andwildfires.

* For certain properties located in hurricane impacted areas,Moody's increased the amount of non-reimbursable expenses thatMoody's expect would be incurred by a replacement servicerfollowing a servicer termination event.

* For certain properties located in hurricane and wildfire impactedareas, Moody's assumed that the loans would complete theforeclosure process rather than being paid off by the borrowers ortheir heirs regardless of how much equity there was in theproperties.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary toprotect investors against current expectations of stress coulddrive the ratings up. Transaction performance depends greatly onthe US macro economy and housing market. Property markets couldimprove from Moody's original expectations resulting inappreciation in the value of the mortgaged property and fasterproperty sales.

Down

Levels of credit protection that are insufficient to protectinvestors against current expectations of stresses could drive theratings down. Transaction performance depends greatly on the USmacro economy and housing market. Property markets coulddeteriorate from Moody's original expectations resulting indepreciation in the value of the mortgaged property and slowerproperty sales.

The subject loan is secured by a 626,233 sf complex comprisingseven Class B office and research and development (R&D) buildingslocated in Santa Clara, California, just outside an area known asthe Golden Triangle. Built between 1970 and 1998, the collateral issituated within the Scott Boulevard Corridor submarket, which ispart of the greater South Bay/San Jose, California, market. Theseven buildings that serve as loan collateral are spread across a37.6-acre parcel of land and range in size from 46,338 sf to200,000 sf. The site is improved with expansive landscaped areasand surface/garage parking for up to 1,880 vehicles.

The property is currently 100.0% occupied and has been since 2009.Tenancy at the property is concentrated between two tenants: NVIDIACorporation (NVIDIA), the largest tenant that leases 60.7% of thetotal NRA and contributes 57.7% of the total DBRS Base Rent, andHuawei Technologies Co., Ltd. (Huawei), which occupies 39.3% of thetotal NRA and contributes 42.3% of the total DBRS Base Rent. NVIDIAhas had a presence at the property specifically, the 2880 ScottBoulevard building since 1997, while Huawei has been inoccupancy since 2009. Both tenants have shown strong commitment tothe subject by having collectively invested approximately $14.0million ($22.36 psf) into their respective build-outs. Furthermore,NVIDIA is in the process of converting the 99,800 sf of officespace at the 2770-2800 Scott Boulevard property into additional labspace at a cost of $150 psf, or nearly $15.0 million. In additionto conventional office space, the collateral houses critical R&Dfacilities for both NVIDIA and Huawei, which utilize thesespecialized labs for research, design and implementation purposesacross several sectors of both companies' product lines. Thecollateral ultimately serves a mission-critical role for bothtenants.

The loan is sponsored by Preylock Real Estate Holdings, a LosAngelesbased real estate investment and development firm thathas acquired 1.0 million sf of commercial space since itsinception, primarily in major West Coast submarkets. The companywas founded by two of the guarantors for the loan, Brett Lipman andFarshid Shokouhi, who have substantial real estate experience inland acquisitions, asset management and development. The thirdguarantor for the loan, Ivan Reitman, is a well-known Hollywoodproducer and director who has been involved with many popularfilms, including Ghostbusters (1984). The guarantors have acombined net worth and liquidity of $225.3 million and $23.5million, respectively, and no credit history of foreclosures,defaults or bankruptcies.

Cushman & Wakefield has determined the as-is value of the propertyto be $261.2 million ($417 psf) based on a direct capitalizationmethod utilizing a 6.0% overall cap rate. The DBRS value issubstantially lower at $166.5 million ($266 psf) and was calculatedby applying an 8.0% cap rate to the DBRS NCF, resulting in a DBRSLTV of 90.1%. While the DBRS LTV on the $150.0 million mortgageloan is relatively high, the leverage is reflected in thebelow-investment-grade last-dollar rating of B (high). Thecumulative investment-grade-rated proceeds of $123.5 millionreflect a more modest 74.2% DBRS LTV and represent just 51.4% ofthe purchase price. Further, the investment-grade exposure psf of$197 is considered very favorable compared with the five-yearaverage sales price of $372 psf for properties in the surroundingarea, according to Real Capital Analytics. The average sales pricefor the past 12 months is far higher at $553 psf and reflects theextremely high investor interest in the market, though these pricesmay ultimately be unsustainable.

The property benefits from a favorable location in Santa Clara,which is part of Silicon Valley, the premier market forhigh-technology companies. The subject has favorable access andvisibility, as it is located at the junction of Central Expresswayand San Tomas Expressway, two highly trafficked thoroughfares thatfacilitate access to several demand generators in the local area.

The collateral was in good physical condition and aestheticallyappealing at the time of the DBRS site inspection. Although theimprovements were built between 1970 and 1998, no significantdeferred maintenance was noted at the site. It was evident that thefacilities are well maintained because of the fact they housemission-critical R&D space for both NVIDIA and Huawei.

The property has a concentrated tenant roster, with NVIDIA andHuawei leasing 100.0% of the total NRA. Of the seven buildings thatserve as loan collateral, three are fully occupied by NVIDIA andthe remaining four are leased to Huawei. Essentially, the subjectproperty operates as a single-tenant office and R&D complex. Bothtenants have been in occupancy for many years. NVIDIA has had apresence at the property since 1997, while Huawei has been at thesite since 2009. Over the years, the tenants have renewed theirleases and expanded their spaces on several occasions,demonstrating the subject's desirability and strong historicalperformance. More importantly, NVIDIA and Huawei appear to begrowing their businesses and are financially sound, as indicated byrecent performance results.

NVIDIA's three leases at the property expire in 2020, 2021 and 2023with a WA of 4.7 years remaining. The three leases expire wellwithin the seven-year fully extended loan term. Additionally, thecompany recently built new 500,000 sf headquarters across thestreet from the collateral, increasing the risk of the tenantconsolidating at another location upon lease expiry. Headquarteredin Santa Clara, NVIDIA's need for additional office space has beenincreasing over the past few years as the company's variousbusinesses have experienced substantial growth. The companycurrently employs nearly 5,000 employees in Santa Clara and plansto grow its payroll to 13,000 employees over the next five to sevenyears. Reportedly, NVIDIA is currently hiring 120 new engineers permonth.

NVIDIA is in the process of converting certain office space toadditional labs at the property, including the $15.0 millionreconfiguration of the 2770-2800 Scott Boulevard building. It isexpected that the collateral's importance to NVIDIA's R&D effortswill continue to grow over time, while more corporate andadministrative functions will be transitioned into the newheadquarters across the street. Recently, NVIDIA entered into adirect lease with the landlord for 200,000 sf at the 2880 ScottBoulevard building, which the tenant had been subleasing fromRenesas Electronics Corporation since 2013.

Although R&D areas were off limits during the property tour, DBRSnoted that most labs had specialized equipment and layouts thatcould potentially be difficult to re-tenant and may requireconsiderable capital investment to reconfigure for alternate uses.The collateral serves a very unique market that is home to numeroustechnology companies that rely on specialized R&D spaces to conductand grow their various business lines. If NVIDIA or Huawei vacateor reduce the size of their spaces, the sponsor could potentiallyfind other similar tenants to occupy the buildings withoutnecessarily having to convert every suite back to conventionaloffice space.

Classes X-CP, X-EXT and X-F are interest-only (IO) certificatesthat reference a single rated tranche or multiple rated tranches.The IO rating mirrors the lowest-rated reference tranche adjustedupward by one notch if senior in the waterfall.

The AAA (sf) ratings on the Notes reflect the 24.70% of creditenhancement provided by subordinated Notes in the pool. The AA(sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 19.85%,15.85%, 12.00%, 9.25% and 6.50% of credit enhancement,respectively.

This transaction is a securitization of a portfolio of seasonedperforming and re-performing first-lien residential mortgages. TheNotes are backed by 8,110 loans with a total principal balance of$725,654,377 as of the Statistical Calculation Date (December 1,2017). The class balances and mortgage loan statistics in thispress release are based on the Statistical Calculation Date. Thefinal class balances will be lower than those shown in the tableabove to reflect the aggregate stated principal balance of themortgage loans as of the Cut-Off Date (January 1, 2018).

The loans are significantly seasoned with a weighted-average (WA)age of 174 months. As of the Statistical Calculation Date, 89.4% ofthe pool is current, 9.4% is 30 days delinquent under the MortgageBankers Association (MBA) delinquency method and 1.2% is inbankruptcy (all bankruptcy loans are performing or 30 daysdelinquent). Approximately 61.6% and 70.7% of the mortgage loanshave been zero times 30 days delinquent (0 x 30) for the past 24months and 12 months, respectively, under the MBA delinquencymethod. The portfolio contains 41.7% modified loans. Themodifications happened more than two years ago for 75.6% of themodified loans. As a result of the seasoning of the collateral,none of the loans are subject to the Consumer Financial ProtectionBureau Ability-to-Repay/Qualified Mortgage rules.

The Seller, NRZ Sponsor IX LLC (NRZ), acquired the loans prior tothe Closing Date in connection with the termination of varioussecuritization trusts. Upon acquiring the loans from thesecuritization trusts, NRZ, through an affiliate, New ResidentialFunding 2018-1 LLC (the Depositor), will contribute the loans tothe Trust. As the Sponsor, New Residential Investment Corp.,through a majority-owned affiliate, will acquire and retain a 5%eligible vertical interest in each class of securities to be issued(other than the residual notes) to satisfy the credit riskretention requirements under Section 15G of the Securities ExchangeAct of 1934 and the regulations promulgated thereunder. These loanswere originated and previously serviced by various entities throughpurchases in the secondary market.

As of the Statistical Calculation Date, 43.5% of the pool isserviced by Specialized Loan Servicing LLC (SLS), 34.9% by OcwenLoan Servicing, LLC (Ocwen), 17.6% by Nationstar Mortgage LLC(Nationstar), 2.7% by Wells Fargo Bank (Wells Fargo) and 1.4% byPNC Mortgage (PNC). Nationstar will also act as the Master Servicerand the Special Servicer.

The Seller will have the option to repurchase any loan that becomes60 or more days delinquent under the MBA method or any REO propertyacquired in respect of a mortgage loan at a price equal to theprincipal balance of the loan (Optional Repurchase Price), providedthat such repurchases will be limited to 10% of the principalbalance of the mortgage loans as of the Cut-Off Date.

Unlike other seasoned re-performing loan securitizations, theServicers in this transaction will advance principal and intereston delinquent mortgages to the extent such advances are deemedrecoverable. The transaction employs a senior-subordinate, shiftinginterest cash flow structure that is enhanced from a pre-crisisstructure.

As of the Statistical Calculation Date, approximately 3.0%, 9.2%and 1.6% of the properties securing the loans in the pool arelocated in zip codes identified by the Federal Emergency ManagementAgency (FEMA), as affected by Hurricane Harvey, Hurricane Irma orCalifornia Wildfires, respectively. The seller will provide arepresentation and warranty that, to its knowledge, properties haveno damage/condemnation that materially adversely affects the valueof the property and is expected to repurchase loans which breachthis representation. DBRS ran additional scenario analyses tostress the FEMA loans and test that the rated bonds can withstandfurther property value declines.

Satisfactory third-party due diligence was performed on the poolfor regulatory compliance, title/lien, payment history and dataintegrity. Updated Home Data Index and/or broker price opinionswere provided for the pool; however, a reconciliation was notperformed on the updated values.

Certain loans have missing assignments or endorsements as of theClosing Date. Given the relatively clean performance history of themortgages and the operational capability of the servicers, DBRSbelieves the risk of impeding or delaying foreclosure is remote.

On the March 1, 2018, refinancing date, the proceeds from the classA-1R, A-2R, B-R, and C-R replacement note issuances were used toredeem the original class A-1, A-2, B, C, and combo notes asoutlined in the transaction document provisions. Therefore, S&Pwithdrew its ratings on the original notes in line with their fullredemption, and S&P is assigning ratings to the replacement notes.

S&P said, "Our review of this transaction included a cash flowanalysis, based on the portfolio and transaction as reflected inthe trustee report, to estimate future performance. In line withour criteria, our cash flow scenarios applied forward-lookingassumptions on the expected timing and pattern of defaults, andrecoveries upon default, under various interest rate andmacroeconomic scenarios.

"In addition, our analysis considered the transaction's ability topay timely interest or ultimate principal, or both, to each of therated tranches.

"The assigned ratings reflect our opinion that the credit supportavailable is commensurate with the associated rating levels.

"We will continue to review whether, in our view, the ratingsassigned to the notes remain consistent with the credit enhancementavailable to support them, and we will take rating actions as wedeem necessary."

The rating actions are primarily a result of the acceleration ofthe notes directed by the Class A-1 and Class A-2 notes on December6, 2017. The acceleration of the notes follows an event of default(EoD) that previously occurred on November 23, 2009 due to missedinterest payments on the Class B-1 and Class B-2 notes. As a resultof the acceleration, on the February 2018 payment date, the ClassA-1 notes received all interest and principal proceeds and theClass A-2 notes did not receive their interest payment due.

Based on Moody's calculations, the Class A-1 and Class A-2 notes'overcollateralization (OC) ratios are 294.0% and 123.6%,respectively. If the requisite note holders direct a liquidation ofthe trust estate, the likelihood of full principal repayment on theClass A-2 notes will be highly sensitive to the liquidation pricesof the assets in the portfolio.

Methodology Underlying the Rating Action

The principal methodology used in these ratings was "Moody'sApproach to Rating TruPS CDOs," published in October 2016.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

This transaction is subject to a number of factors andcircumstances that could lead to either an upgrade or downgrade ofthe ratings, as described below:

1) Macroeconomic uncertainty: TruPS CDOs performance could benegatively affected by uncertainty about credit conditions in thegeneral economy. Moody's has a stable outlook on the US bankingsector.

2) Portfolio credit risk: Credit performance of the assetscollateralizing the transaction that is better than Moody's currentexpectations could have a positive impact on the transaction'sperformance. Conversely, asset credit performance weaker thanMoody's current expectations could have adverse consequences on thetransaction's performance.

3) Deleveraging: One source of uncertainty in this transaction iswhether deleveraging from unscheduled principal proceeds and excessinterest proceeds will continue and at what pace. Note repaymentsthat are faster than Moody's current expectations could have apositive impact on the notes' ratings, beginning with the noteswith the highest payment priority.

4) Resumption of interest payments by deferring assets: A number ofbanks have resumed making interest payments on their TruPS. Thetiming and amount of deferral cures could have significant positiveimpact on the transaction's over-collateralization ratios and theratings on the notes.

5) Exposure to non-publicly rated assets: The deal contains a largenumber of securities whose default probability Moody's assessesthrough credit scores derived using RiskCalc(TM) or creditestimates. Because these are not public ratings, they are subjectto additional uncertainties.

In addition to the base case analysis, Moody's also conductedsensitivity analyses to test the impact of a number of defaultprobabilities on the rated notes relative to the base case modelingresults, which may be different from the current public ratings ofthe notes. Below is a summary of the impact of different defaultprobabilities (expressed in terms of WARF) on all of the ratednotes (by the difference in the number of notches versus thecurrent model output, for which a positive difference correspondsto lower expected loss):

Assuming a two-notch upgrade to assets with below-investment graderatings or rating estimates (WARF of 392)

Class A-1: 0

Class A-2: +2

Assuming a two-notch downgrade to assets with below-investmentgrade ratings or rating estimates (WARF of 948)

Class A-1: 0

Class A-2: -2

Loss and Cash Flow Analysis:

Moody's applied a Monte Carlo simulation framework in Moody'sCDROM(TM) to model the loss distribution for TruPS CDOs. Thesimulated defaults and recoveries for each of the Monte Carloscenarios defined the reference pool's loss distribution. Moody'sthen used the loss distribution as an input in its CDOEdge(TM) cashflow model. CDROM(TM) is available on www.moodys.com under Productsand Solutions -- Analytical models, upon receipt of a signed freelicense agreement.

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, and weighted average recovery rate,are based on its methodology and could differ from the trustee'sreported numbers. In its base case, Moody's analyzed the underlyingcollateral pool as having a performing par and of $133.0 million,defaulted par of $111.0 million, a weighted average defaultprobability of 6.4% (implying a WARF of 632), and a weightedaverage recovery rate upon default of 10.0%.

In addition to the quantitative factors Moody's explicitly models,qualitative factors are part of rating committee considerations.Moody's considers the structural protections in the transaction,the risk of an event of default, recent deal performance undercurrent market conditions, the legal environment and specificdocumentation features. All information available to ratingcommittees, including macroeconomic forecasts, inputs from otherMoody's analytical groups, market factors, and judgments regardingthe nature and severity of credit stress on the transactions, caninfluence the final rating decision.

The portfolio of this CDO contains mainly TruPS issued by small tomedium sized U.S. community banks that Moody's does not ratepublicly. To evaluate the credit quality of bank TruPS that do nothave public ratings, Moody's uses RiskCalc(TM), an econometricmodel developed by Moody's Analytics, to derive credit scores.Moody's evaluation of the credit risk of most of the bank obligorsin the pool relies on the latest FDIC financial data.

The certificate issuance is a commercial mortgage-backed securitiestransaction backed by a three-year, floating-rate commercialmortgage loan totaling $1.350 billion, with two, one-year extensionoptions, secured by first-mortgage liens on the fee, leasehold, andpartial leasehold interests in 38 retail properties in thecontinental U.S., along with a pledge of all cash flows, insuranceproceeds, and a Uniform Commercial Code (UCC) pledge of the directequity interests in the owners of 12 retail properties in PuertoRico.

The preliminary ratings are based on information as of March 2,2018. Subsequent information may result in the assignment of finalratings that differ from the preliminary ratings.

The preliminary ratings reflect our view of the collateral'shistorical and projected performance, the sponsor's and managers'experience, the trustee-provided liquidity, the loan's terms, andthe transaction's structure.

(i)The issuer will issue the certificates to qualifiedinstitutional buyers in-line with Rule 144A of the Securities Actof 1933. (ii)Interest-only class. (iii)Notional balance. The class X-CP and X-EXT certificates'notional amount will be reduced by the aggregate amount ofprincipal distributions and realized losses allocated to the classD certificates. (iv)The initial certificate balance of classes G and HRR is subjectto change based on the final pricing of all certificates and thefinal determination of the class HRR certificates, which will beretained by Western Asset Mortgage Capital Corp. as third-partypurchaser. NR--Not rated.

The 'B-sf' rating for the M notes reflects the 6.00% subordinationprovided by the class B notes.

SCRT 2018-1 represents Freddie Mac's sixth seasoned credit risktransfer transaction issued. SCRT 2018-1 consists of fourcollateral groups backed by 10,983 seasoned performing andre-performing mortgages with a total balance of approximately$1.832 billion, which includes $192.5 million, or 10.5%, of theaggregate pool balance in non-interest-bearing deferred principalamounts, as of the cutoff date. The four collateral groups aredistinguished between loans that have additional interest rateincreases outstanding due to the terms of the modification andthose that are expected to remain fixed for the remainder of theterm. Among the loans that are fixed, the groups are furtherdistinguished by both loans that include a portion of principalforbearance as well as the interest rate on the loans. Thedistribution of principal and interest (P&I) and loss allocationsto the rated note is based on a senior subordinate, sequentialstructure.

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral poolconsists primarily of peak-vintage re-performing loans (RPLs), allof which have been modified. Roughly 73% of the pool has beenpaying on time for the past 24 months per the Mortgage BankersAssociation (MBA) methodology and none of the loans haveexperienced a delinquency within the past 12 months. The pool has aweighted average sustainable loan-to-value ratio (WA sLTV) of 86.7%and the WA model FICO is 673.

Interest Payment Risk (Negative): In Fitch's timing scenarios the Mclass incurs temporary shortfalls in the 'B-sf' rating category butis ultimately repaid prior to maturity of the transaction. Thedifference between Fitch's expected loss and the credit enhancement(CE) on the rated class is due to the repayment of interestdeferrals. Interest to the rated classes is subordinated to thesenior notes as well as repayments made to Freddie Mac for priorpayments on the senior classes. Timely payments of interest arealso a potential risk, as principal collections on the underlyingcan only be used to repay interest shortfalls on the rated classesafter the balance has been paid off.

Third-Party Due Diligence (Neutral): A third-party due diligencereview was conducted on a sample basis of approximately 20% of thepool as it relates to regulatory compliance and 11% for pay historyand a tax and title lien search was conducted on 100%. Thethird-party review (TPR) firms' due diligence review resulted in 3%of the sample loans remaining in the final pool graded 'C' or 'D'(less than 1% graded 'C'), meaning the loans had materialviolations or lacked documentation to confirm regulatorycompliance. While the diligence grades are better than average, thescope of the review was more narrow than a typical private-labelRPL transaction.

Regular Issuer (Neutral): This is Freddie Mac's sixth-rated RPLsecuritization and the third that Fitch has been asked to rate.Fitch has conducted multiple reviews of Freddie Mac and isconfident that it has the necessary policies, procedures andthird-party oversight in place to properly aggregate and securitizeRPLs.

Representation Framework (Negative): Fitch considers therepresentation, warranty and enforcement (RW&E) mechanism constructfor this transaction as weaker than other Fitch-rated RPL deals.The weakness is due to the exclusion of a number of reps that Fitchviews as consistent with a full framework as well as the limiteddiligence that may have otherwise acted as a mitigant.Additionally, Freddie Mac as rep provider will only be obligated torepurchase a loan, pay an indemnity loss amount or cure thematerial breach prior to March 12, 2021. However, Fitch believesthat the defect risk is lower relative to other RPL transactionsbecause the loans were subject to Freddie Mac's loan level reviewprocess in place at the time the loan became delinquent. Therefore,Fitch treated the construct as Tier 3 and increased its 'B-sf'Probability of Default expectations by 74 bps to account for theweaknesses in the reps

Sequential-Pay Structure (Positive): The transaction's cash flow issimilar to Freddie Mac's STACR transactions. Once the initial CE ofthe senior notes has reached the target and if all performancetriggers are passing, principal is allocated pro rata among theseniors and subordinate classes with the most senior subordinatebond receiving the full subordinate share. This structure is apositive for the rated notes, as it results in a faster paydown andallows them to receive principal earlier than under a traditionalsequential structure. However, to the extent any of the performancetriggers are failing, principal is distributed sequentially to thesenior notes until triggers pass.

No Servicer P&I Advances (Mixed): The servicer will not beadvancing delinquent monthly payments of P&I, which reducesliquidity to the trust. However, as P&I advances made on behalf ofloans that become delinquent and eventually liquidate reduceliquidation proceeds to the trust, the loan-level loss severities(LS) are less for this transaction than for those where theservicer is obligated to advance P&I. Structural provisions andcash flow priorities, together with increased subordination,provide for ultimate payments of interest to the rated classes.

CRITERIA APPLICATION

Fitch analyzed the transaction in accordance with its criteria, asdescribed in its June 2017 report, "U.S. RMBS Rating Criteria."This incorporates a review of the aggregator's lending platforms,as well as an assessment of the transaction's R&W and due diligenceresults, which were found to be consistent with the ratingsassigned to the notes.

Fitch's analysis incorporated one criteria variation from "U.S.RMBS Seasoned, Re-Performing and Non-Performing Loan RatingCriteria," which is described below.

The variation (to "U.S. RMBS Seasoned, Re-Performing andNon-Performing Loan Rating Criteria") relates to increasing themaximum PD credit that a loan can receive for having a clean payhistory. Fitch will typically apply the maximum clean currentcredit for loans that have clean pay histories for at least 36months and three-quarters of the maximum credit for loans that haveclean pay histories of 24 months-35 months. Based on a historicaldata analysis of legacy RPL and RPL 2.0 performance to date, RPLcollateral has outperformed Fitch's initial expectations.

In RPL 2.0, the cohort of clean current loans at deal closing areperforming substantially better than the weaker cohort of loans atdeal closing that had a delinquency in the previous 24 months. Thishistorical data supports increasing the maximum PD credit from 35%to 50% for loans that are at least 36 months clean current, as wellas increasing the maximum PD credit to 36% from 26% for loans thatare 24 month-35 month clean current.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstratehow the ratings would react to steeper market value declines (MVDs)than assumed at both the MSA and national levels. The impliedrating sensitivities are only an indication of some of thepotential outcomes and do not consider other risk factors that thetransaction may become exposed to or be considered in thesurveillance of the transaction.

This defined stress sensitivity analysis demonstrates how theratings would react to steeper MVDs at the national level. Theanalysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to themodel projected 12.1% at the 'B-sf' level. The analysis indicatesthat there is some potential rating migration with higher MVDs,compared with the model projection.

Fitch also conducted defined rating sensitivities that determinethe stresses to MVDs that would reduce a rating by one fullcategory, to non-investment grade, and to 'CCCsf'. For example,additional MVDs of 4% would potentially move the 'B-sf' rated classdown to 'CCCsf' respectively.

Moody's ratings of the Rated Notes address the expected lossesposed to noteholders. The ratings reflect the risks due to defaultson the underlying portfolio of assets, the transaction's legalstructure, and the characteristics of the underlying assets.

Vibrant CLO VIII is a managed cash flow CLO. The issued notes willbe collateralized primarily by broadly syndicated senior securedcorporate loans. At least 90.0% of the portfolio must consist offirst lien senior secured loans and eligible investments, and up to10.0% of the portfolio may consist of second lien loans andunsecured loans. The portfolio is approximately 75% ramped as ofthe closing date.

Vibrant Credit Partners, LLC (the "Manager") will direct theselection, acquisition and disposition of the assets on behalf ofthe Issuer and may engage in trading activity, includingdiscretionary trading, during the transaction's five yearreinvestment period. Thereafter, the Manager may reinvestunscheduled principal payments and proceeds from sales of creditrisk assets, subject to certain restrictions.

In addition to the Rated Notes, the Issuer issued subordinatednotes.

The transaction incorporates interest and par coverage tests which,if triggered, divert interest and principal proceeds to pay downthe notes in order of seniority.

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in Section 2.3.2.1of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in August 2017.

For modeling purposes, Moody's used the following base-caseassumptions:

Par amount: $550,000,000

Diversity Score: 60

Weighted Average Rating Factor (WARF): 2672

Weighted Average Spread (WAS): 3.30%

Weighted Average Recovery Rate (WARR): 46.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inAugust 2017.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the Rated Notes is subject to uncertainty. Theperformance of the Rated Notes is sensitive to the performance ofthe underlying portfolio, which in turn depends on economic andcredit conditions that may change. The Manager's investmentdecisions and management of the transaction will also affect theperformance of the Rated Notes.

Together with the set of modeling assumptions above, Moody'sconducted an additional sensitivity analysis, which was a componentin determining the ratings assigned to the Rated Notes. Thissensitivity analysis includes increased default probabilityrelative to the base case.

Below is a summary of the impact of an increase in defaultprobability (expressed in terms of WARF level) on the Rated Notes(shown in terms of the number of notch difference versus thecurrent model output, whereby a negative difference corresponds tohigher expected losses), assuming that all other factors are heldequal:

The ratings on the P&I classes were affirmed because the ratingsare consistent with Moody's expected loss plus realized losses.Class E has already experienced a 26% realized loss as result ofpreviously liquidated loans.

The rating on the IO class, Class X-C, was affirmed based on thecredit quality of the referenced classes.

Moody's rating action reflects a base expected loss of 32.0% of thecurrent pooled balance, compared to 34.6% at Moody's last review.Moody's base expected loss plus realized losses is now 10.3% of theoriginal pooled balance, compared to 10.5% at the last review.Moody's provides a current list of base expected losses for conduitand fusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017. The methodologies used in rating Cl.X-C were "Moody's Approach to Rating Structured FinanceInterest-Only (IO) Securities" published in June 2017 and "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in July 2017.

Moody's analysis incorporated a loss and recovery approach inrating the P&I classes in this deal since 10.3% of the pool is inspecial servicing and Moody's has identified additional troubledloans representing 85.1% of the pool. In this approach, Moody'sdetermines a probability of default for each specially serviced andtroubled loan that it expects will generate a loss and estimates aloss given default based on a review of broker's opinions of value(if available), other information from the special servicer,available market data and Moody's internal data. The loss givendefault for each loan also takes into consideration repayment ofservicer advances to date, estimated future advances and closingcosts. Translating the probability of default and loss givendefault into an expected loss estimate, Moody's then applies theaggregate loss from specially serviced and troubled loans to themost junior class(es) and the recovery as a pay down of principalto the most senior class(es).

DEAL PERFORMANCE

As of the February 16, 2018 distribution date, the transaction'saggregate certificate balance has decreased by 97.0% to $59.7million from $2.00 billion at securitization. The certificates arecollateralized by four mortgage loans ranging in size from lessthan 5% to 80% of the pool.

Three loans, constituting 89.7% of the pool, are on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Twenty-five loans have been liquidated from the pool, contributingto an aggregate realized loss of $186.6 million (for an averageloss severity of 48%). The only specially serviced loan is theUnion Square Loan ($6.2 million -- 10.3% of the pool), which issecured by a 75,000 square foot (SF) retail property located inMonroe, North Carolina. Two anchor tenants, representing a combined55% of the net rentable area (NRA), vacated the property in 2015and the loan subsequently transferred to special servicing inJanuary 2016 for imminent default and is now REO.

Moody's has also assumed a high default probability for two poorlyperforming loans, constituting 85% of the pool, and has estimatedan aggregate loss of $19.2 million (a 34% expected loss on average)from these specially serviced and troubled loans.

The three performing loans not in special servicing represent 89.7%of the pool balance. The largest loan is the Bank of America --Pasadena, CA Loan ($47.9 million -- 79.9% of the pool), which issecured by a 346,000 SF office building in Pasadena, California.The property operates on a triple net basis and is 100% occupied byBank of America through October 2019. The Borrower was unable topay off the loan by the September 2015 anticipated repayment date(ARD). Starting in October 2015, the loan entered into ahyper-amortization period through the final maturity date inDecember 2019. Due to the single tenant exposure, Moody's valueincorporates a "lit/dark" analysis. The loan is on the masterservicer's watchlist due to low DSCR and Moody's has identifiedthis as a troubled loan.

The second largest loan is the St. Laurent Warehouses Pool Loan($2.91 million -- 4.9% of the pool), which is secured by aportfolio of five flex industrial buildings constructed in variousyears between 1973 and 2003. As of September 2017, the overallportfolio was 99% leased, virtually unchanged from 2016. Thefully-amortizing loan has amortized 45% since securitization andmatures in March 2026. Moody's LTV and stressed DSCR are 63% and1.51X, respectively, compared to 69% and 1.38X at the last review.

The third largest loan is the Walgreens -- East Ridge, TN Loan($2.94 million -- 4.9% of the pool), which is secured by a 15,000SF single tenant retail property constructed in 2001 and located inEast Ridge, Tennessee. The property is leased and occupied byWalgreens through 2060. The loan, which did not pay off by its ARDin December 2015, has a final maturity in December 2035. Within twomiles of the subject, there is a CVS and Rite Aid. Moody's valueincorporated a "lit/dark" analysis due to the single tenantexposure. The loan remains on the master servicer's watchlist forpassing its ARD and Moody's has identified this as a troubled loan.

All trends are Stable. DBRS does not rate the first loss piece,Class G.

The rating confirmations reflect the overall stable performance ofthe transaction. At issuance, the collateral consisted of 112fixed-rate loans secured by 152 commercial properties. As of theDecember 2017 remittance, all loans remained in the pool with anaggregate principal balance of $948.8 million, representing acollateral reduction of approximately 1.2% since issuance as aresult of scheduled loan amortization. There are currently 24 loans(35.4% of the pool) with remaining interest-only (IO) periods,ranging from eight to 60 months, while four loans (15.7% of thepool) are structured with full IO terms. To date, 107 loans (97.3%of the pool) reported partial-year 2017 financials, while 75 loans(82.5% of the pool) reported YE2016 financials. At issuance, thetransaction had a weighted-average (WA) debt service coverage ratio(DSCR) and WA Debt Yield of 1.64 times (x) and 8.5%, respectively.

Thirty-one loans, representing 12.7% of the pool, are secured bycooperative housing properties and are very low-leverage, withminimal term and refinance default risk. The pool is relativelydiverse in terms of loan size, as the top 15 loans represent only51.8% of the pool. Based on the most recent cash flows available,the top 15 loans reported a WA DSCR of 1.72x, compared with the WADBRS Term DSCR of 1.50x, which is reflective of 16.2% net cash flowgrowth over the DBRS issuance figures.

As of the December 2017 remittance, there are 15 loans (17.6% ofthe pool) on the servicer's watchlist. Of these 15 loans, threeloans (12.1% of the pool) were flagged as a result of deferredmaintenance, six loans (4.3% of the pool) were flagged because ofeither occupancy declines and/or near-term tenant rollover, whilethe remaining six loans (1.3% of the pool; secured by cooperativeproperties) were flagged for various reasons.

Stable Performance with No Material Changes: The overall poolperformance remains stable from issuance. As property levelperformance is generally in line with issuance expectations, theoriginal rating analysis was considered in affirming thetransaction.

As of the February 2018 distribution date, the pool's aggregateprincipal balance has been reduced by 1.3% to $702.9 million from$712.2 million at issuance. No loans have transferred to specialservicing since issuance. There are eight loans (7.56%) on theservicer's watch list. Fitch has designated one loan (1.49%) as aFitch Loan of Concern (FLOC), due to declining occupancy and DSCR.

Co-Op Collateral: The pool contains 14 loans (5.5% of the pool)secured by multifamily co-ops; 12 are in New York City metro area;one is in Washington, D.C.; and one is in Atlanta, GA.

Property Type Concentration: The pool's largest property typeconcentrations are office (32.6% of the pool), retail (18.5%),self-storage (14%) and hotel (13%) of the pool.

Investment-Grade Credit Opinion Loan: The third largest loan in thepool, 225 Liberty Street, representing 5.7% of the pool balance,was assigned an investment-grade credit opinion at issuance.

RATING SENSITIVITIES

The Rating Outlooks on all classes remain Stable. Fitch does notforesee positive or negative ratings migration until a materialeconomic or asset-level event changes the transaction's overallportfolio-level metrics.

(a) Notional amount and interest-only.(b) Privately placed and pursuant to Rule 144A.(c) Vertical credit risk retention interest representing no lessthan 5% of the estimated fair value of all classes of regularcertificates issued by the issuing entity as of the closing date.

The expected ratings are based on information provided by theissuer as of March 5, 2018.

Fitch reviewed a comprehensive sample of the transaction'scollateral, including site inspections on 74.6% of the propertiesby balance, cash flow analysis of 85.3%, and asset summary reviewson 100% of the pool.

KEY RATING DRIVERS

Investment-Grade Credit Opinion Loans: Two loans, representing11.6% of the transaction, are credit assessed. The largest loan,Moffett Towers II-Building 2 (7.5% of the pool) has a stand-alonecredit opinion of 'BBB-sf', with a Fitch DSCR and Fitch LTV of1.26x and 70.4%, respectively. The seventh largest loan, AppleCampus 3 (4.2% of the pool) has a stand-alone credit opinion of'BBB-sf', with a Fitch DSCR and Fitch LTV of 1.25x and 71.4%,respectively.

Higher Fitch Leverage: The transaction has lower Fitch coveragerelative to other recent Fitch-rated multiborrower transactions.The pool's Fitch DSCR of 1.19x is below the 2017 and 2016 averagesof 1.26x and 1.21x, respectively. The pool's Fitch LTV of 100.9% isin line with the 2017 average of 101.6% and below the 2016 averageof 105.2%. Excluding credit opinion loans, the pool's normalizedFitch DSCR and LTV are 1.19x and 104.9%.

High Single-Tenant Exposure: Thirteen loans, representing 34.0% ofthe pool, are designated full or partial single-tenant propertiesby Fitch, including seven of the top 10 loans. The pools' singletenant concentration is above the 2017 and 2016 averages of 19.3%and 15.7%, respectively.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 12.8% belowthe most recent year's net operating income (NOI) for propertiesfor which a full year NOI was provided, excluding properties thatwere stabilizing during this period. Unanticipated further declinesin property-level NCF could result in higher defaults and lossseverities on defaulted loans and in potential rating actions onthe certificates.

Fitch evaluated the sensitivity of the ratings assigned to the WFCM2018-C43 certificates and found that the transaction displaysaverage sensitivities to further declines in NCF. In a scenario inwhich NCF declined a further 20% from Fitch's NCF, a downgrade ofthe junior 'AAAsf' certificates to 'BBB+sf' could result. In a moresevere scenario, in which NCF declined a further 30% from Fitch'sNCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'could result.

[*] DBRS Confirm 15 Ratings From 4 Flag Credit Auto Trust Deals---------------------------------------------------------------DBRS, Inc., in January 2018, confirmed 15 ratings and upgraded sixratings following review of 21 outstanding publicly rated classesfrom four U.S. structured finance asset-backed securitiestransactions. For the ratings that were confirmed, performancetrends are such that credit enhancement levels are sufficient tocover DBRS's expected losses at their current respective ratinglevels. For the ratings that were upgraded, performance trends aresuch that credit enhancement levels are sufficient to cover DBRS'sexpected losses at their new respective rating levels.

The issuer's ratings are based on DBRS's review of the followinganalytical considerations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.

-- The transaction parties' capabilities with regard to origination, underwriting and servicing.

The rating upgrades reflect positive performance trends andincreases in credit support sufficient to withstand stresses attheir new rating levels. For transactions where the ratings havebeen confirmed, current asset performance and credit support levelsare consistent with the current ratings. The discontinued ratingsare the result of full repayment of principal to bondholders.

The rating actions are the result of DBRS's application of "RMBSInsight 1.3: U.S. Residential Mortgage-Backed Securities Model andRating Methodology," published on April 4, 2017.

The transactions consist of U.S. RMBS transactions. The poolsbacking these transactions consist of prime, Alt-A and subprimecollateral.

The ratings assigned to the following securities differ from theratings implied by the quantitative model. DBRS considers thisdifference to be a material deviation, but in this case, theratings of the subject notes reflect the structural features andhistorical performance that constrain the quantitative modeloutput.

The actions reflect the recent performance of the underlying poolsand reflect Moody's updated loss expectations on the pools. Theratings upgraded are a result of an increase in credit enhancementavailable to the bonds.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in January 2017.

Factors that would lead to an upgrade or downgrade of the ratings:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate.The unemployment rate fell to 4.1% in January 2018 from 4.8% inJanuary 2017. Moody's forecasts an unemployment central range of3.5% to 4.5% for the 2018 year. Deviations from this centralscenario could lead to rating actions in the sector. House pricesare another key driver of US RMBS performance. Moody's expectshouse prices to continue to rise in 2018. Lower increases thanMoody's expects or decreases could lead to negative rating actions.Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

[*] Moody's Takes Action on $102MM of RMBS Issued 2003-2005-----------------------------------------------------------Moody's Investors Service has upgraded the ratings of thirteentranches and downgraded the ratings of four tranches from fivetransactions, backed by Prime Jumbo RMBS loans, issued by multipleissuers.

The rating actions reflect the recent performance of the underlyingpools and Moody's updated loss expectation on these pools. Therating upgrades from Wells Fargo Mortgage Backed Securities 2004-DDTrust and Wells Fargo Mortgage Backed Securities 2005-AR5 Trust areprimarily due to an increase in the credit enhancement available tothe bonds. The rating upgrades from Thornburg Mortgage SecuritiesTrust 2004-1 are due to the strong collateral performance and thetotal credit enhancement available to the bonds. The ratingupgrades from WaMu Mortgage Pass-Through Certificates Series2003-AR8 Trust reflect the receipt of a $672,700 subsequentrecovery in September 2017. The rating downgrades are due to thedeterioration of collateral performance and the total creditenhancement available to the bonds.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in January 2017.

Factors that would lead to an upgrade or downgrade of the ratings:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate.The unemployment rate fell to 4.1% in January 2018 from 4.8% inJanuary 2017. Moody's forecasts an unemployment central range of3.5% to 4.5% for 2018. Deviations from this central scenario couldlead to rating actions in the sector. House prices are another keydriver of US RMBS performance. Moody's expects house prices tocontinue to rise in 2018. Lower increases than Moody's expects ordecreases could lead to negative rating actions. Finally,performance of RMBS continues to remain highly dependent onservicer procedures.Finally, performance of RMBS continues toremain highly dependent on servicer procedures. Any changeresulting from servicing transfers or other policy or regulatorychange can impact the performance of these transactions.

The rating actions reflect the recent performance of the underlyingpools and Moody's updated loss expectations on those pools. Therating upgrades are primarily due to improvement in the creditenhancement available to the bonds and/or an improvement in poolperformance.

Factors that would lead to an upgrade or downgrade of the ratings:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate.The unemployment rate fell to 4.1% in January 2018 from 4.8% inJanuary 2017. Moody's forecasts an unemployment central range of3.5% to 4.5% for the 2018 year. Deviations from this centralscenario could lead to rating actions in the sector. House pricesare another key driver of US RMBS performance. Moody's expectshouse prices to continue to rise in 2018. Lower increases thanMoody's expects or decreases could lead to negative rating actions.Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

[*] Moody's Takes Action on $815.4MM of RMBS Issued 2005-2006-------------------------------------------------------------Moody's Investors Service has taken action on the ratings of 51tranches issued by 19 transactions, backed by subprime mortgageloans.

The actions reflect the recent performance of the underlying poolsand reflect Moody's updated loss expectations on the pools. Therating upgrades are a result of the improved performance of therelated pools and an increase in credit enhancement available tothe bonds. The rating downgrade of Class M-4 issued by IndyMac HomeEquity Mortgage Loan Asset-Backed Trust, INABS 2005-B is primarilythe result of interest shortfalls on the bond that are unlikely tobe reimbursed. In addition, the rating downgrade of Class M-4issued by RAMP Series 2005-RS7 Trust is due to higher expectedlosses on the underlying pool.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in January 2017.

Factors that would lead to an upgrade or downgrade of the ratings:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate.The unemployment rate fell to 4.1% in January 2018 from 4.8% inJanuary 2017. Moody's forecasts an unemployment central range of3.5% to 4.5% for the 2018 year. Deviations from this centralscenario could lead to rating actions in the sector. House pricesare another key driver of US RMBS performance. Moody's expectshouse prices to continue to rise in 2018. Lower increases thanMoody's expects or decreases could lead to negative rating actions.Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

[*] S&P Takes Various Action on 131 Classes From 25 US RMBS Deals-----------------------------------------------------------------S&P Global Ratings, on March 1, 2018, completed its review of 131classes from 25 U.S. residential mortgage-backed securities (RMBS)issued between 2003 and 2006. All of these transactions are backedby Alternative-A and/or negative amortizing collateral. The reviewyielded 46 upgrades, 11 downgrades, 73 affirmations, and onediscontinuance.

Analytical Considerations

S&P incorporates various considerations into its decisions toraise, lower, or affirm ratings when reviewing the indicativeratings suggested by its projected cash flows. These considerationsare based on transaction-specific performance or structuralcharacteristics (or both) and their potential effects on certainclasses. Some of these considerations include:

S&P incorporates various considerations into its decisions toraise, lower, or affirm ratings when reviewing the indicativeratings suggested by its projected cash flows. These considerationsare based on transaction-specific performance or structuralcharacteristics (or both) and their potential effects on certainclasses. Some of these considerations include:

S&P said, "The affirmations of ratings reflect our opinion that ourprojected credit support and collateral performance on theseclasses has remained relatively consistent with our priorprojections.

"On Feb. 5, 2018, we placed our ratings on four classes from NomuraAsset Acceptance Corp. Alternative Loan Trust series 2003-A3 onCreditWatch with negative implications due to potential interestshortfalls reported by the trustee in the November 2014, December2014, and June 2017 remittance periods. Thedowngrades of these ratings resolve the CreditWatch placements.Following the CreditWatch placements, we verified with the trusteethe outstanding interest shortfall amounts on these classes, aswell as the application of reimbursement based on the dealdocuments. We determined that these classes do not receiveadditional compensation beyond the imputed interest due as directeconomic compensation for the delay in interest payments.Accordingly, pursuant to our interest shortfall criteria, we applya maximum potential rating (MPR) to these classes, resulting intheir downgrade.

"We lowered our ratings on classes M-1 and M-2 from GSAA HomeEquity Trust 2004-4, and class M-1 from GSAA Home Equity Trust2004-8 after assessing the impact of missed interest payments onthese classes. These downgrades are based on our cash flowprojections used in determining the likelihood that the missedinterest payments would be reimbursed under various scenarios,because these classes received additional compensation foroutstanding missed interest payments.

"We withdrew our rating on class 2-A3A from Lehman XS Trust series2005-2 that is insured by a bond insurer that we no longer rate.The withdrawal reflects the absence of relevant informationregarding the insurers' creditworthiness that is needed to maintaina rating on this class. To date, there is a current draw amount onthe insurance policy. Additionally, the rating on this classdepends solely on whether the insurer continues to make paymentswhen required and we do not have the relevant information to makesuch a determination.

"We also withdrew our ratings on classes I-A3B and I-X from AAATrust 2005-2 because the related underlying classes paid down inthe January 2017 remittance period. AAA Trust 2005-2 is insured byU.S. government affiliated entity, Fannie Mae; however, the trusteecontinues to report outstanding, de minimis principal and notionalbalances on classes I-A3B and I-X, respectively. We reached out tothe trustee, Deutsche Bank, to confirm the reporting of these classbalances and if they will remain outstanding, since there are noadditional funds available from the underlying classes; however,after unsuccessful attempts to verify this with the trustee, anddue to the de minimis amount of the remaining balances, we arewithdrawing our ratings for these classes due to a lack of marketinterest."

S&P incorporates various considerations into its decisions toraise, lower, or affirm ratings when reviewing the indicativeratings suggested by S&P's projected cash flows. Theseconsiderations are based on transaction-specific performance orstructural characteristics (or both) and their potential effects oncertain classes. Some of these considerations include:

S&P incorporates various considerations into its decisions toraise, lower, or affirm ratings when reviewing the indicativeratings suggested by its projected cash flows. These considerationsare based on transaction-specific performance or structuralcharacteristics (or both) and their potential effects on certainclasses. Some of these considerations include:

"The total loss severity for the 686 loans liquidated in 2017 was43.0%, lower than the loss severity of 45.8% for the 766 loansliquidated in 2016," says Vice President -- Senior Analyst, MatthewHalpern. "The lower loss severity in 2017 was largely due to thehigher share of loan liquidations from 2007 vintage maturitydefaults, which represented 69% of the 2007 vintage dispositionbalance and had an average loss severity of 19.8%. This wassignificantly lower than the loss severity of 61.1% for the 2007vintage liquidations from term defaults."

Moody's quarterly report on US CMBS loss severities covers all USconduit and fusion transactions, regardless of whether Moody'srates them, and provides both point-in-time and cumulativeestimates of loss severity. The current report details losses forthe 1998 to 2017 vintages based on liquidations that took placefrom 1 January 2000 to December 31, 2017.

Despite the overall decrease in loss severities in 2017, thequarterly weighted average loss severity rose significantly, to55.6% for the 170 loans liquidated in the final quarter of theyear, from 42.8% for the 154 loans liquidated in the prior threemonths.

Among the five major property types, retail continued to be theworst-performer in terms of loss severity in 2017, Halpern adds.The 264 retail loans liquidated last year had an average lossseverity of 55.1%. Nineteen loans backed by troubled malls made up42% of the total dollar loss from retail properties in 2017 and hada weighted average loss severity of 68.0%.

On average loans liquidated in major metropolitan statistical areashad lower loss severities than those in secondary and tertiarymarkets. Among the top 25 metropolitan areas, Detroit had thehighest cumulative loss severity, at 57.3% and Portland, thelowest, at 24.2%.

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